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.


Introduction to VaR models. Volatility modeling. VaR models evaluation and backtesting. VaR models during the subprime crisis: estimation and performance.


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


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