Value at risk: a comparison of approaches
Lariccia, Serena (A.A. 2014/2015) Value at risk: a comparison of approaches. Tesi di Laurea in Financial and credit derivatives, LUISS Guido Carli, relatore Federico Calogero Nucera, pp. 66. [Master's Degree Thesis]
Full text for this thesis not available from the repository.
Abstract/Index
Introduction to VaR models. Volatility modeling. VaR models evaluation and backtesting. VaR models during the subprime crisis: estimation and performance.
References
Bibliografia: p. 56. Appendice: pp. 57-66.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | LUISS Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56) |
| Chair: | Financial and credit derivatives |
| Thesis Supervisor: | Nucera, Federico Calogero |
| Thesis Co-Supervisor: | Oriani, Raffaele |
| Academic Year: | 2014/2015 |
| Session: | Summer |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 12 Nov 2015 09:41 |
| Last Modified: | 02 Oct 2018 06:19 |
| URI: | https://tesi.luiss.it/id/eprint/14938 |
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