Comparison between risk metrics used in internal models for capital requirement of banks; VaR vs expected shortfall: an empirical analysis
Piccolo, Antonio (A.A. 2023/2024) Comparison between risk metrics used in internal models for capital requirement of banks; VaR vs expected shortfall: an empirical analysis. Tesi di Laurea in Risk management, Luiss Guido Carli, relatore Daniele Penza, pp. 78. [Master's Degree Thesis]
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Abstract/Index
The risk: evolution of the regulation and the risk measures. Origins of risk management. Market risk amendment. Basel II. VaR: the internal model used to compute the regulatory capital. Basel II.5, the ES and the weakness of the VaR. Data analysis. Data collection. Prices trend. Analysis of log-returns. Application of market risk models on different portfolios. Portfolios building. VaR and ES application.
References
Bibliografia e sitografia: pp. 76-77.
| 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: | Morelli, Giacomo |
| Academic Year: | 2023/2024 |
| Session: | Autumn |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 16 May 2025 10:41 |
| Last Modified: | 16 May 2025 10:41 |
| URI: | https://tesi.luiss.it/id/eprint/42173 |
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