Value at risk: an experimental analysis of different approaches
Addamiano, Michele (A.A. 2021/2022) Value at risk: an experimental analysis of different approaches. Tesi di Laurea in Asset pricing, Luiss Guido Carli, relatore Daniele Penza, pp. 69. [Master's Degree Thesis]
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Abstract/Index
Analysis of value at risk. Risk management in financial institutions. What is value at risk. Regulatory overview. Standard approaches to VaR computation. Volatility estimation models. Backtesting. Previous literature on VaR. Empirical study. Data. Evaluation framework. VaR models. Results.
References
Bibliografia: pp. 56-60.
| 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: | Penza, Daniele |
| Thesis Co-Supervisor: | Borri, Nicola |
| Academic Year: | 2021/2022 |
| Session: | Autumn |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 27 Feb 2023 13:22 |
| Last Modified: | 27 Feb 2023 13:22 |
| URI: | https://tesi.luiss.it/id/eprint/35238 |
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