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
Предметы:	Financial futures > Mathematical models. Risk management > Mathematical models. Portfolio management > Mathematical models.