Value at risk: a theoretical and practical comparison between methodologies during the Covid-19 pandemic

Pacchiarini, Pietro (A.A. 2020/2021) Value at risk: a theoretical and practical comparison between methodologies during the Covid-19 pandemic. Tesi di Laurea in Risk management, Luiss Guido Carli, relatore Daniele Penza, pp. 86. [Master's Degree Thesis]

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Abstract/Index

History of value-at-risk. Value-at-risk: the beginning and J.P.Morgan document. VaR regulation: the basel accords. VaR and RiskGrades. Analysis of different VaR approaches. Parametric approaches. Non-parametric approaches. Semi-parametric approaches. Practical application, backtesting and comparison. VaR calculations. Back-tests.

References

Bibliografia e sitografia: pp. 74-75.

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: Cerri, Francesco
Academic Year: 2020/2021
Session: Extraordinary
Deposited by: Alessandro Perfetti
Date Deposited: 25 Aug 2022 12:28
Last Modified: 25 Aug 2022 12:28
URI: https://tesi.luiss.it/id/eprint/33025

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