Value at risk and conditional value at risk: an econometric analysis
Vallarino, Pierluigi (A.A. 2016/2017) Value at risk and conditional value at risk: an econometric analysis. Tesi di Laurea in Applied statistics and econometrics, LUISS Guido Carli, relatore Giuseppe Ragusa, pp. 59. [Bachelor's Degree Thesis]
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Abstract/Index
Introducing risk. Market risk and its metrics. Value at risk. Introducing the VaR and a bit of history. Monte Carlo simulation. Beyond the VaR: the CVaR and tail distributions. The conditional value at risk. A further application of the CVaR: index tracking.
References
Bibliografia: pp. 49-50.
| Thesis Type: | Bachelor's Degree Thesis |
|---|---|
| Institution: | LUISS Guido Carli |
| Degree Program: | Bachelor's Degree Programs > Bachelor's Degree Program in Economics and Business, English language (L-33) |
| Chair: | Applied statistics and econometrics |
| Thesis Supervisor: | Ragusa, Giuseppe |
| Academic Year: | 2016/2017 |
| Session: | Summer |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 13 Nov 2017 09:31 |
| Last Modified: | 13 Nov 2017 09:31 |
| URI: | https://tesi.luiss.it/id/eprint/19740 |
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