Examining the robustness of market risk models

Reviews Value at Risk (VaR) and Expexted Shortfall (ES), the current industry risk measures, and the usefullness of including Expectiles as a new measure of risk. Results can assist financial institutions, regulators, investors and researchers to gain insights on measuring risk. By acting prudently...

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Bibliographic Details

Main Author:	Roque, Roberto Miguel S. (Author)
Other Authors:	Rey, Mia (adviser.)
Format:	Thesis
Language:	English
Subjects:	Financial futures > Mathematical models. Risk management > Mathematical models. Portfolio management > Mathematical models.