On tail risk: issues from Basel
Lombardo, Giuseppe (A.A. 2024/2025) On tail risk: issues from Basel. Tesi di Laurea in Empirical finance, Luiss Guido Carli, relatore Paolo Santucci de Magistris, pp. 66. [Master's Degree Thesis]
Full text for this thesis not available from the repository.
Abstract/Index
Why is tail risk important? An introduction to VaR. Application to Basel. The importance of assumptions. VaR in financial intermediaries. Theoretical VaR models. Backtesting methodology. Empirical results. Beyond classical VaR. A conditional quantile measure. The importance of systemic risk.
References
Bibliografia: pp. 55-56.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56) |
| Chair: | Empirical finance |
| Thesis Supervisor: | Santucci de Magistris, Paolo |
| Thesis Co-Supervisor: | Mazzoni, Giancarlo |
| Academic Year: | 2024/2025 |
| Session: | Extraordinary |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 14 Jul 2026 13:05 |
| Last Modified: | 14 Jul 2026 13:05 |
| URI: | https://tesi.luiss.it/id/eprint/46391 |
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