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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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.


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


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