The value at risk: an empirical study on reliability between parametric and non parametric approaches
Abbruzzese, Santo (A.A. 2020/2021) The value at risk: an empirical study on reliability between parametric and non parametric approaches. Tesi di Laurea in Asset pricing, Luiss Guido Carli, relatore Paolo Porchia, pp. 59. [Master's Degree Thesis]
Full text for this thesis not available from the repository.
Abstract/Index
The purpose of the thesis. Plan of the thesis. Research question. Literature review and context of research. Theory. The value at risk. Critics to VaR. Introduction to approaches. Backtesting procedures. Underlying assets. Methods. Returns. VaR for parametric approaches. VaR for non-parametric approaches. Backtesting processes. Results. Discussion.
References
Bibliografia: pp. 56-57.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree program in Corporate Finance, English language (LM-77) |
| Chair: | Asset pricing |
| Thesis Supervisor: | Porchia, Paolo |
| Thesis Co-Supervisor: | Pirra, Marco |
| Academic Year: | 2020/2021 |
| Session: | Summer |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 02 Dec 2021 14:29 |
| Last Modified: | 02 Dec 2021 14:29 |
| URI: | https://tesi.luiss.it/id/eprint/30857 |
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