Pierucci, Giovanni (A.A. 2020/2021) Value at risk as a risk measure for UCITS funds: empirical estimation and back testing. Tesi di Laurea in Risk management, Luiss Guido Carli, relatore Daniele Penza, pp. 115. [Master's Degree Thesis]

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Abstract/Index

Collective investment schemes: from UCITS to AIFs. History and market structure. The UCITS and AIF European directives. CIS, practical features for investors. The parties behind a UCITS fund. The risk management for UCITS. Value at risk: features and calculation methods. Introduction to the models. Value at risk, a comparison with the main financial risk measures. Parametric VaR and back-testing, empirical estimations and results. Literature review. Dataset. The empirical estimation of parametric VaR. VaR estimation. The back-testing.

References

Bibliografia e sitografia: pp. 84-86.

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:	Risk management
Thesis Supervisor:	Penza, Daniele
Thesis Co-Supervisor:	Previtali, Daniele
Academic Year:	2020/2021
Session:	Extraordinary
Deposited by:	Alessandro Perfetti
Date Deposited:	25 Aug 2022 12:50
Last Modified:	25 Aug 2022 12:50
URI:	https://tesi.luiss.it/id/eprint/33026

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