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...

Полное описание

Библиографические подробности
Главный автор: Roque, Roberto Miguel S. (Автор)
Другие авторы: Rey, Mia (adviser.)
Формат: Диссертация
Язык:English
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