Realized volatility modeling and its impact on the financial risk management
Marchesini, Andrea (A.A. 2018/2019) Realized volatility modeling and its impact on the financial risk management. Tesi di Laurea in Empirical finance, Luiss Guido Carli, relatore Paolo Santucci de Magistris, pp. 85. [Master's Degree Thesis]
Full text for this thesis not available from the repository.
Abstract/Index
Market risk classification. History and development of value of risk. Value at risk, methods of computation. To sum up: comparison among the three approaches. Back testing. Volatility modelling: models used in this study. Empirical analysis. Estimates with different models.
References
Bibliografia: pp. 63-64.
| 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: | Grassi, Stefano |
| Academic Year: | 2018/2019 |
| Session: | Extraordinary |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 21 Sep 2020 14:03 |
| Last Modified: | 21 Sep 2020 14:03 |
| URI: | https://tesi.luiss.it/id/eprint/27176 |
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