Montecarlo and value at risk: empirical evidence from the Italian stock market
Aquila, Martina (A.A. 2018/2019) Montecarlo and value at risk: empirical evidence from the Italian stock market. Tesi di Laurea in Mathematical methods for economics and finance, Luiss Guido Carli, relatore Gennaro Olivieri, pp. 284. [Master's Degree Thesis]
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Abstract/Index
Introduction to Montecarlo simulation. The need for simulation techniques. Generation of uniform random numbers. Linear congruential generators. Generation of random numbers from other distributions. Value at risk. Montecarlo simulation approach. Empirical performance of VaR models. The impact of distributional assumptions on VaR estimates.
References
Bibliografia: pp. 237-246.
| 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) |
| Outstanding Thesis: | Department of Economics and Finance |
| Chair: | Mathematical methods for economics and finance |
| Thesis Supervisor: | Olivieri, Gennaro |
| Thesis Co-Supervisor: | Fersini, Paola |
| Academic Year: | 2018/2019 |
| Session: | Autumn |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 06 Apr 2020 09:25 |
| Last Modified: | 05 May 2020 12:01 |
| URI: | https://tesi.luiss.it/id/eprint/26272 |
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