A comparison between value at risk forecasting methodologies
Imperi Galli, Alessio (A.A. 2020/2021) A comparison between value at risk forecasting methodologies. Tesi di Laurea in Empirical finance, Luiss Guido Carli, relatore Paolo Santucci de Magistris, pp. 51. [Master's Degree Thesis]
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Abstract/Index
Risk management and value at risk. Literature review. Methodology. Model specification. Data. Data collection. Descriptive statistics. Results. GARCH models. CAViaR models.
References
Bibliografia: pp. 46-49.
| 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: | Carlini, Federico Carlo Eugenio |
| Academic Year: | 2020/2021 |
| Session: | Extraordinary |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 08 Sep 2022 08:03 |
| Last Modified: | 08 Sep 2022 08:03 |
| URI: | https://tesi.luiss.it/id/eprint/33244 |
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