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Macquarie University

1.
Bowers, Colin Tormod.
Estimation and forecast evaluation of *risk* measures with high frequency *financial* data.

Degree: 2015, Macquarie University

URL: http://hdl.handle.net/1959.14/1053706

►

"October 2014".

Bibliography: pages 89-97.

1. Introduction – 2. Bootstrapping daily returns – 3. An empirical analysis of *value*-*at*-*risk* forecasting *models* – 4. Ranking intraday…
(more)

Subjects/Keywords: Econometric forecasting; Financial risk – Econometric models; Computer algorithms; finance; econometrics; intraday; variance; value-at-risk; estimation; forecast; bootstrap

Record Details Similar Records

❌

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Bowers, C. T. (2015). Estimation and forecast evaluation of risk measures with high frequency financial data. (Doctoral Dissertation). Macquarie University. Retrieved from http://hdl.handle.net/1959.14/1053706

Chicago Manual of Style (16^{th} Edition):

Bowers, Colin Tormod. “Estimation and forecast evaluation of risk measures with high frequency financial data.” 2015. Doctoral Dissertation, Macquarie University. Accessed January 20, 2020. http://hdl.handle.net/1959.14/1053706.

MLA Handbook (7^{th} Edition):

Bowers, Colin Tormod. “Estimation and forecast evaluation of risk measures with high frequency financial data.” 2015. Web. 20 Jan 2020.

Vancouver:

Bowers CT. Estimation and forecast evaluation of risk measures with high frequency financial data. [Internet] [Doctoral dissertation]. Macquarie University; 2015. [cited 2020 Jan 20]. Available from: http://hdl.handle.net/1959.14/1053706.

Council of Science Editors:

Bowers CT. Estimation and forecast evaluation of risk measures with high frequency financial data. [Doctoral Dissertation]. Macquarie University; 2015. Available from: http://hdl.handle.net/1959.14/1053706

University of Helsinki

2. Eerola, Kari. Hedge funds’ risks and implications to financialstability.

Degree: Department of Political Science; Helsingfors universitet, Allmän statslära, Institutionen för, 2008, University of Helsinki

URL: http://hdl.handle.net/10138/11155

►

The current *financial* crisis has raised considerable debate about the *risk* management practices of banks and other *financial* institutions. In particular, there have been concerns…
(more)

Subjects/Keywords: hedge fund; risk management; financial stability; value-at-risk; hedge fund; risk management; financial stability; value-at-risk

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Eerola, K. (2008). Hedge funds’ risks and implications to financialstability. (Masters Thesis). University of Helsinki. Retrieved from http://hdl.handle.net/10138/11155

Chicago Manual of Style (16^{th} Edition):

Eerola, Kari. “Hedge funds’ risks and implications to financialstability.” 2008. Masters Thesis, University of Helsinki. Accessed January 20, 2020. http://hdl.handle.net/10138/11155.

MLA Handbook (7^{th} Edition):

Eerola, Kari. “Hedge funds’ risks and implications to financialstability.” 2008. Web. 20 Jan 2020.

Vancouver:

Eerola K. Hedge funds’ risks and implications to financialstability. [Internet] [Masters thesis]. University of Helsinki; 2008. [cited 2020 Jan 20]. Available from: http://hdl.handle.net/10138/11155.

Council of Science Editors:

Eerola K. Hedge funds’ risks and implications to financialstability. [Masters Thesis]. University of Helsinki; 2008. Available from: http://hdl.handle.net/10138/11155

Royal Holloway, University of London

3.
Pan, Liuxuan.
Application of a *financial* quantitative *risk* model to information security *risk* assessment.

Degree: PhD, 2018, Royal Holloway, University of London

URL: https://pure.royalholloway.ac.uk/portal/en/publications/application-of-a-financial-quantitative-risk-model-to-information-security-risk-assessment(0df7e916-8b0d-4776-8bf7-aed4d6ac27e3).html ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.792802

► ISRA has its roots in documents like the Orange Book and the Anderson Report. Even recent standards such as the ISO 27000 series make assumptions…
(more)

Subjects/Keywords: Information Security Risk Assessment; Financial Risk Model; Value at Risk; Malware

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Pan, L. (2018). Application of a financial quantitative risk model to information security risk assessment. (Doctoral Dissertation). Royal Holloway, University of London. Retrieved from https://pure.royalholloway.ac.uk/portal/en/publications/application-of-a-financial-quantitative-risk-model-to-information-security-risk-assessment(0df7e916-8b0d-4776-8bf7-aed4d6ac27e3).html ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.792802

Chicago Manual of Style (16^{th} Edition):

Pan, Liuxuan. “Application of a financial quantitative risk model to information security risk assessment.” 2018. Doctoral Dissertation, Royal Holloway, University of London. Accessed January 20, 2020. https://pure.royalholloway.ac.uk/portal/en/publications/application-of-a-financial-quantitative-risk-model-to-information-security-risk-assessment(0df7e916-8b0d-4776-8bf7-aed4d6ac27e3).html ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.792802.

MLA Handbook (7^{th} Edition):

Pan, Liuxuan. “Application of a financial quantitative risk model to information security risk assessment.” 2018. Web. 20 Jan 2020.

Vancouver:

Pan L. Application of a financial quantitative risk model to information security risk assessment. [Internet] [Doctoral dissertation]. Royal Holloway, University of London; 2018. [cited 2020 Jan 20]. Available from: https://pure.royalholloway.ac.uk/portal/en/publications/application-of-a-financial-quantitative-risk-model-to-information-security-risk-assessment(0df7e916-8b0d-4776-8bf7-aed4d6ac27e3).html ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.792802.

Council of Science Editors:

Pan L. Application of a financial quantitative risk model to information security risk assessment. [Doctoral Dissertation]. Royal Holloway, University of London; 2018. Available from: https://pure.royalholloway.ac.uk/portal/en/publications/application-of-a-financial-quantitative-risk-model-to-information-security-risk-assessment(0df7e916-8b0d-4776-8bf7-aed4d6ac27e3).html ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.792802

Universidade Nova

4.
Kennedy, George.
Using covar to model cross-border connections in *financial* markets.

Degree: 2017, Universidade Nova

URL: https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/25467

► This paper will examine how the conditional *value* *at* *risk* of the United States *financial* market can be calculated using exposure to foreign *financial* markets.…
(more)

Subjects/Keywords: Financial interconnection; Value at risk; Risk management; Conditional value at risk; Domínio/Área Científica::Ciências Sociais::Economia e Gestão

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Kennedy, G. (2017). Using covar to model cross-border connections in financial markets. (Thesis). Universidade Nova. Retrieved from https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/25467

Note: this citation may be lacking information needed for this citation format:

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Kennedy, George. “Using covar to model cross-border connections in financial markets.” 2017. Thesis, Universidade Nova. Accessed January 20, 2020. https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/25467.

Note: this citation may be lacking information needed for this citation format:

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Kennedy, George. “Using covar to model cross-border connections in financial markets.” 2017. Web. 20 Jan 2020.

Vancouver:

Kennedy G. Using covar to model cross-border connections in financial markets. [Internet] [Thesis]. Universidade Nova; 2017. [cited 2020 Jan 20]. Available from: https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/25467.

Note: this citation may be lacking information needed for this citation format:

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Kennedy G. Using covar to model cross-border connections in financial markets. [Thesis]. Universidade Nova; 2017. Available from: https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/25467

Not specified: Masters Thesis or Doctoral Dissertation

Université de Neuchâtel

5. Bluteau, Keven. Modeling latent variables in economics and finance.

Degree: 2019, Université de Neuchâtel

URL: http://doc.rero.ch/record/326760

► Le sujet des variables latentes est au cœur de cette thèse. Ces variables latentes (i.e., non observables) doivent être inférées à l’aide de modèles statistiques…
(more)

Subjects/Keywords: value–at–risk

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APA (6^{th} Edition):

Bluteau, K. (2019). Modeling latent variables in economics and finance. (Thesis). Université de Neuchâtel. Retrieved from http://doc.rero.ch/record/326760

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Bluteau, Keven. “Modeling latent variables in economics and finance.” 2019. Thesis, Université de Neuchâtel. Accessed January 20, 2020. http://doc.rero.ch/record/326760.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Bluteau, Keven. “Modeling latent variables in economics and finance.” 2019. Web. 20 Jan 2020.

Vancouver:

Bluteau K. Modeling latent variables in economics and finance. [Internet] [Thesis]. Université de Neuchâtel; 2019. [cited 2020 Jan 20]. Available from: http://doc.rero.ch/record/326760.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Bluteau K. Modeling latent variables in economics and finance. [Thesis]. Université de Neuchâtel; 2019. Available from: http://doc.rero.ch/record/326760

Not specified: Masters Thesis or Doctoral Dissertation

6.
Sharma, Bhanu.
Clabacus: A *Financial* Economic Model for Pricing Cloud Compute Commodities.

Degree: Computer Science, 2016, University of Manitoba

URL: http://hdl.handle.net/1993/31871

► Cloud computing *at* a high level comprises of the availability of hardware, software and technical support via a network protocol to a remote client on…
(more)

Subjects/Keywords: Cloud resource pricing; Financial models; Financial options; Value-at-risk

…5. I present *Value*-*at*-*Risk* analysis in Chapter 6. I
discuss experiments and results in… …research is the use of
*Value*-*at*-*Risk* to refine resource pricing.
In the next Chapter, I present… …Design and development of algorithms for *financial* *models* for option pricing such as Black… …to clients, (iii)
Mapping these input parameters to the *financial* *models* for… …a way to price Cloud resources.
2.3
Economy-based pricing *models*
Net present *value*…

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Sharma, B. (2016). Clabacus: A Financial Economic Model for Pricing Cloud Compute Commodities. (Thesis). University of Manitoba. Retrieved from http://hdl.handle.net/1993/31871

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Sharma, Bhanu. “Clabacus: A Financial Economic Model for Pricing Cloud Compute Commodities.” 2016. Thesis, University of Manitoba. Accessed January 20, 2020. http://hdl.handle.net/1993/31871.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Sharma, Bhanu. “Clabacus: A Financial Economic Model for Pricing Cloud Compute Commodities.” 2016. Web. 20 Jan 2020.

Vancouver:

Sharma B. Clabacus: A Financial Economic Model for Pricing Cloud Compute Commodities. [Internet] [Thesis]. University of Manitoba; 2016. [cited 2020 Jan 20]. Available from: http://hdl.handle.net/1993/31871.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Sharma B. Clabacus: A Financial Economic Model for Pricing Cloud Compute Commodities. [Thesis]. University of Manitoba; 2016. Available from: http://hdl.handle.net/1993/31871

Not specified: Masters Thesis or Doctoral Dissertation

7.
Gaio, Luiz Eduardo.
Gestão de riscos no mercado financeiro internacional: uma análise comparativa entre modelos de volatilidade para estimação do *Value*-*at*-* Risk*.

Degree: Mestrado, Administração de Organizações, 2009, University of São Paulo

URL: http://www.teses.usp.br/teses/disponiveis/96/96132/tde-03052010-173001/ ;

►

Durante os últimos anos, tem havido muitas mudanças na maneira como as instituições financeiras avaliam o risco. As regulações têm tido um papel muito importante… (more)

Subjects/Keywords: ARCH models; Gestão de risco; Mercado de capitais; Modelos ARCH; Risk management; Stock market; Value-at-Risk; Value-at-Risk

Record Details Similar Records

❌

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Gaio, L. E. (2009). Gestão de riscos no mercado financeiro internacional: uma análise comparativa entre modelos de volatilidade para estimação do Value-at-Risk. (Masters Thesis). University of São Paulo. Retrieved from http://www.teses.usp.br/teses/disponiveis/96/96132/tde-03052010-173001/ ;

Chicago Manual of Style (16^{th} Edition):

Gaio, Luiz Eduardo. “Gestão de riscos no mercado financeiro internacional: uma análise comparativa entre modelos de volatilidade para estimação do Value-at-Risk.” 2009. Masters Thesis, University of São Paulo. Accessed January 20, 2020. http://www.teses.usp.br/teses/disponiveis/96/96132/tde-03052010-173001/ ;.

MLA Handbook (7^{th} Edition):

Gaio, Luiz Eduardo. “Gestão de riscos no mercado financeiro internacional: uma análise comparativa entre modelos de volatilidade para estimação do Value-at-Risk.” 2009. Web. 20 Jan 2020.

Vancouver:

Gaio LE. Gestão de riscos no mercado financeiro internacional: uma análise comparativa entre modelos de volatilidade para estimação do Value-at-Risk. [Internet] [Masters thesis]. University of São Paulo; 2009. [cited 2020 Jan 20]. Available from: http://www.teses.usp.br/teses/disponiveis/96/96132/tde-03052010-173001/ ;.

Council of Science Editors:

Gaio LE. Gestão de riscos no mercado financeiro internacional: uma análise comparativa entre modelos de volatilidade para estimação do Value-at-Risk. [Masters Thesis]. University of São Paulo; 2009. Available from: http://www.teses.usp.br/teses/disponiveis/96/96132/tde-03052010-173001/ ;

University of Washington

8.
Hubbard, Alex.
Macroeconomic Dynamics of Market *Risk* Capital Requirements and Credit Supply Interdependence.

Degree: PhD, 2016, University of Washington

URL: http://hdl.handle.net/1773/36565

► The 2008 global *financial* crisis revealed serious weaknesses in the worldwide banking system and *financial* regulatory regime. Concerns arose about the possible procyclical effects of…
(more)

Subjects/Keywords: Capital Requirements; Conditional Value-at-Risk; Financial Regulation; Macroeconomics; Value-at-Risk; Economics; Economic theory; Banking; economics

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Hubbard, A. (2016). Macroeconomic Dynamics of Market Risk Capital Requirements and Credit Supply Interdependence. (Doctoral Dissertation). University of Washington. Retrieved from http://hdl.handle.net/1773/36565

Chicago Manual of Style (16^{th} Edition):

Hubbard, Alex. “Macroeconomic Dynamics of Market Risk Capital Requirements and Credit Supply Interdependence.” 2016. Doctoral Dissertation, University of Washington. Accessed January 20, 2020. http://hdl.handle.net/1773/36565.

MLA Handbook (7^{th} Edition):

Hubbard, Alex. “Macroeconomic Dynamics of Market Risk Capital Requirements and Credit Supply Interdependence.” 2016. Web. 20 Jan 2020.

Vancouver:

Hubbard A. Macroeconomic Dynamics of Market Risk Capital Requirements and Credit Supply Interdependence. [Internet] [Doctoral dissertation]. University of Washington; 2016. [cited 2020 Jan 20]. Available from: http://hdl.handle.net/1773/36565.

Council of Science Editors:

Hubbard A. Macroeconomic Dynamics of Market Risk Capital Requirements and Credit Supply Interdependence. [Doctoral Dissertation]. University of Washington; 2016. Available from: http://hdl.handle.net/1773/36565

Halmstad University

9.
Sjöstrand, Maria.
Cornish-Fisher Expansion and *Value*-*at*-*Risk* method in application to *risk* management of large portfolios.

Degree: MPE-lab, 2011, Halmstad University

URL: http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-16274

► One of the major problem faced by banks is how to manage the *risk* exposure in large portfolios. According to Basel II regulation banks…
(more)

Subjects/Keywords: Financial Mathematics; Value-at-Risk; Expected Shortfall; Cornish-Fisher Expansion; Gaussian distribution; Generalized Hyperbolic distribution; Applied mathematics; Tillämpad matematik; Mathematical statistics; Matematisk statistik

Record Details Similar Records

❌

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Sjöstrand, M. (2011). Cornish-Fisher Expansion and Value-at-Risk method in application to risk management of large portfolios. (Thesis). Halmstad University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-16274

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Sjöstrand, Maria. “Cornish-Fisher Expansion and Value-at-Risk method in application to risk management of large portfolios.” 2011. Thesis, Halmstad University. Accessed January 20, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-16274.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Sjöstrand, Maria. “Cornish-Fisher Expansion and Value-at-Risk method in application to risk management of large portfolios.” 2011. Web. 20 Jan 2020.

Vancouver:

Sjöstrand M. Cornish-Fisher Expansion and Value-at-Risk method in application to risk management of large portfolios. [Internet] [Thesis]. Halmstad University; 2011. [cited 2020 Jan 20]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-16274.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Sjöstrand M. Cornish-Fisher Expansion and Value-at-Risk method in application to risk management of large portfolios. [Thesis]. Halmstad University; 2011. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-16274

Not specified: Masters Thesis or Doctoral Dissertation

University of Otago

10.
Cable, Timothy.
Properties of the *value* *at* *risk* estimate using the historical simulation methodology
.

Degree: 2011, University of Otago

URL: http://hdl.handle.net/10523/1368

► In its most general form, *risk* can he defined as the possibility an outcome will differ from expectations. This project is concerned with the quantification…
(more)

Subjects/Keywords: Banks; financial institutions; risk; sensitive to changes in market prices; Value-at-Risk

Record Details Similar Records

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APA (6^{th} Edition):

Cable, T. (2011). Properties of the value at risk estimate using the historical simulation methodology . (Masters Thesis). University of Otago. Retrieved from http://hdl.handle.net/10523/1368

Chicago Manual of Style (16^{th} Edition):

Cable, Timothy. “Properties of the value at risk estimate using the historical simulation methodology .” 2011. Masters Thesis, University of Otago. Accessed January 20, 2020. http://hdl.handle.net/10523/1368.

MLA Handbook (7^{th} Edition):

Cable, Timothy. “Properties of the value at risk estimate using the historical simulation methodology .” 2011. Web. 20 Jan 2020.

Vancouver:

Cable T. Properties of the value at risk estimate using the historical simulation methodology . [Internet] [Masters thesis]. University of Otago; 2011. [cited 2020 Jan 20]. Available from: http://hdl.handle.net/10523/1368.

Council of Science Editors:

Cable T. Properties of the value at risk estimate using the historical simulation methodology . [Masters Thesis]. University of Otago; 2011. Available from: http://hdl.handle.net/10523/1368

AUT University

11.
Zhang, Bo (Vivienne).
Daily *Value*-*at*-*Risk* *models* *at* *financial* crisis period: evidence in Australia
.

Degree: 2010, AUT University

URL: http://hdl.handle.net/10292/985

► Over the past decades portfolio and *risk* management techniques had adapted to increasingly complex *financial* instrument. Within the different forms of *financial* *risk* measurement tools,…
(more)

Subjects/Keywords: Daily Value-at-Risk Model; Risk Management; Australian Implied Volatility Index; Financial crisis period

Record Details Similar Records

❌

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Zhang, B. (. (2010). Daily Value-at-Risk models at financial crisis period: evidence in Australia . (Thesis). AUT University. Retrieved from http://hdl.handle.net/10292/985

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Zhang, Bo (Vivienne). “Daily Value-at-Risk models at financial crisis period: evidence in Australia .” 2010. Thesis, AUT University. Accessed January 20, 2020. http://hdl.handle.net/10292/985.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Zhang, Bo (Vivienne). “Daily Value-at-Risk models at financial crisis period: evidence in Australia .” 2010. Web. 20 Jan 2020.

Vancouver:

Zhang B(. Daily Value-at-Risk models at financial crisis period: evidence in Australia . [Internet] [Thesis]. AUT University; 2010. [cited 2020 Jan 20]. Available from: http://hdl.handle.net/10292/985.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Zhang B(. Daily Value-at-Risk models at financial crisis period: evidence in Australia . [Thesis]. AUT University; 2010. Available from: http://hdl.handle.net/10292/985

Not specified: Masters Thesis or Doctoral Dissertation

University of Otago

12.
McLaren, Paul.
Measuring *risk* and performance for a *financial* institution
.

Degree: 2011, University of Otago

URL: http://hdl.handle.net/10523/1431

► This research evaluates the use of *Value* *at* *Risk* (VaR) and Return on *Risk*-Adjusted Capital (RORAC) as *risk* and performance measures for *financial* institutions that…
(more)

Subjects/Keywords: Value at Risk; Risk-Adjusted Capital; risk measures; performance measures; financial risk management; risk; performance; derivatives

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

McLaren, P. (2011). Measuring risk and performance for a financial institution . (Masters Thesis). University of Otago. Retrieved from http://hdl.handle.net/10523/1431

Chicago Manual of Style (16^{th} Edition):

McLaren, Paul. “Measuring risk and performance for a financial institution .” 2011. Masters Thesis, University of Otago. Accessed January 20, 2020. http://hdl.handle.net/10523/1431.

MLA Handbook (7^{th} Edition):

McLaren, Paul. “Measuring risk and performance for a financial institution .” 2011. Web. 20 Jan 2020.

Vancouver:

McLaren P. Measuring risk and performance for a financial institution . [Internet] [Masters thesis]. University of Otago; 2011. [cited 2020 Jan 20]. Available from: http://hdl.handle.net/10523/1431.

Council of Science Editors:

McLaren P. Measuring risk and performance for a financial institution . [Masters Thesis]. University of Otago; 2011. Available from: http://hdl.handle.net/10523/1431

ETH Zürich

13.
Jakobsons, Edgars.
Dependence Uncertainty Bounds and Optimization of Aggregate * Risk*.

Degree: 2016, ETH Zürich

URL: http://hdl.handle.net/20.500.11850/116413

Subjects/Keywords: OPTIMIERUNGSMODELLE (OPERATIONS RESEARCH); OPTIMIZATION MODELS (OPERATIONS RESEARCH); VALUE-AT-RISK MODELS (FINANCIAL MATHEMATICS); ABHÄNGIGKEITSMASSE (WAHRSCHEINLICHKEITSRECHNUNG); DEPENDENCE MEASURES (PROBABILITY THEORY); PORTFOLIOTHEORIE (OPERATIONS RESEARCH); PORTFOLIO SELECTION (OPERATIONS RESEARCH); FINANZRISIKO (FINANZEN); VALUE-AT-RISK-MODELLE (FINANZMATHEMATIK); FINANCIAL RISK (FINANCE); info:eu-repo/classification/ddc/510; Mathematics

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Jakobsons, E. (2016). Dependence Uncertainty Bounds and Optimization of Aggregate Risk. (Doctoral Dissertation). ETH Zürich. Retrieved from http://hdl.handle.net/20.500.11850/116413

Chicago Manual of Style (16^{th} Edition):

Jakobsons, Edgars. “Dependence Uncertainty Bounds and Optimization of Aggregate Risk.” 2016. Doctoral Dissertation, ETH Zürich. Accessed January 20, 2020. http://hdl.handle.net/20.500.11850/116413.

MLA Handbook (7^{th} Edition):

Jakobsons, Edgars. “Dependence Uncertainty Bounds and Optimization of Aggregate Risk.” 2016. Web. 20 Jan 2020.

Vancouver:

Jakobsons E. Dependence Uncertainty Bounds and Optimization of Aggregate Risk. [Internet] [Doctoral dissertation]. ETH Zürich; 2016. [cited 2020 Jan 20]. Available from: http://hdl.handle.net/20.500.11850/116413.

Council of Science Editors:

Jakobsons E. Dependence Uncertainty Bounds and Optimization of Aggregate Risk. [Doctoral Dissertation]. ETH Zürich; 2016. Available from: http://hdl.handle.net/20.500.11850/116413

Edith Cowan University

14.
Singh, Abhay Kumar.
Modelling Extreme Market *Risk* - A Study of Tail Related *Risk* Measures.

Degree: 2011, Edith Cowan University

URL: https://ro.ecu.edu.au/theses/417

► Market *risk* modelling is one of the most dynamic domains in finance. *Risk* is the uncertainty that affects the values of assets in the system…
(more)

Subjects/Keywords: Value at Risk; Quantile Regression; Expected Shortfall; Return Level; Extreme Value Theory; Extremal Dependence; Tail Risk.; Finance and Financial Management

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Singh, A. K. (2011). Modelling Extreme Market Risk - A Study of Tail Related Risk Measures. (Thesis). Edith Cowan University. Retrieved from https://ro.ecu.edu.au/theses/417

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Singh, Abhay Kumar. “Modelling Extreme Market Risk - A Study of Tail Related Risk Measures.” 2011. Thesis, Edith Cowan University. Accessed January 20, 2020. https://ro.ecu.edu.au/theses/417.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Singh, Abhay Kumar. “Modelling Extreme Market Risk - A Study of Tail Related Risk Measures.” 2011. Web. 20 Jan 2020.

Vancouver:

Singh AK. Modelling Extreme Market Risk - A Study of Tail Related Risk Measures. [Internet] [Thesis]. Edith Cowan University; 2011. [cited 2020 Jan 20]. Available from: https://ro.ecu.edu.au/theses/417.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Singh AK. Modelling Extreme Market Risk - A Study of Tail Related Risk Measures. [Thesis]. Edith Cowan University; 2011. Available from: https://ro.ecu.edu.au/theses/417

Not specified: Masters Thesis or Doctoral Dissertation

University of KwaZulu-Natal

15.
Kemda, Lionel Establet.
Modeling *financial* data using the multivariate generalized hyperbolic distribution and copula.

Degree: 2015, University of KwaZulu-Natal

URL: http://hdl.handle.net/10413/15532

► *Financial* data usually possess some characteristics, such as volatility clustering, asymmetry, heavy and semi-heavy tails thus, making it difficult, if not impossible, to use Normal…
(more)

Subjects/Keywords: Theses - Statistics.; Financial returns.; Univariate distribution.; Multivariate distribution.; Generalized hyperbolic distribution.; Value-at-Risk.

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Kemda, L. E. (2015). Modeling financial data using the multivariate generalized hyperbolic distribution and copula. (Thesis). University of KwaZulu-Natal. Retrieved from http://hdl.handle.net/10413/15532

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Kemda, Lionel Establet. “Modeling financial data using the multivariate generalized hyperbolic distribution and copula.” 2015. Thesis, University of KwaZulu-Natal. Accessed January 20, 2020. http://hdl.handle.net/10413/15532.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Kemda, Lionel Establet. “Modeling financial data using the multivariate generalized hyperbolic distribution and copula.” 2015. Web. 20 Jan 2020.

Vancouver:

Kemda LE. Modeling financial data using the multivariate generalized hyperbolic distribution and copula. [Internet] [Thesis]. University of KwaZulu-Natal; 2015. [cited 2020 Jan 20]. Available from: http://hdl.handle.net/10413/15532.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Kemda LE. Modeling financial data using the multivariate generalized hyperbolic distribution and copula. [Thesis]. University of KwaZulu-Natal; 2015. Available from: http://hdl.handle.net/10413/15532

Not specified: Masters Thesis or Doctoral Dissertation

ETH Zürich

16. Juri, Alessandro. Applications of dependence concepts in insurance and finance.

Degree: 2002, ETH Zürich

URL: http://hdl.handle.net/20.500.11850/146168

Subjects/Keywords: RISIKOTHEORIE (WAHRSCHEINLICHKEITSRECHNUNG); EXTREMWERTSTATISTIK (MATHEMATISCHE STATISTIK); RUINWAHRSCHEINLICHKEIT (WAHRSCHEINLICHKEITSRECHNUNG); VALUE-AT-RISK-MODELLE (FINANZMATHEMATIK); ABHÄNGIGKEITSMASSE (WAHRSCHEINLICHKEITSRECHNUNG); RISK THEORY (PROBABILITY THEORY); EXTREME VALUE STATISTICS (MATHEMATICAL STATISTICS); RUIN PROBABILITY (PROBABILITY THEORY); VALUE-AT-RISK MODELS (FINANCIAL MATHEMATICS); DEPENDENCE MEASURES (PROBABILITY THEORY); info:eu-repo/classification/ddc/510; Mathematics

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Juri, A. (2002). Applications of dependence concepts in insurance and finance. (Doctoral Dissertation). ETH Zürich. Retrieved from http://hdl.handle.net/20.500.11850/146168

Chicago Manual of Style (16^{th} Edition):

Juri, Alessandro. “Applications of dependence concepts in insurance and finance.” 2002. Doctoral Dissertation, ETH Zürich. Accessed January 20, 2020. http://hdl.handle.net/20.500.11850/146168.

MLA Handbook (7^{th} Edition):

Juri, Alessandro. “Applications of dependence concepts in insurance and finance.” 2002. Web. 20 Jan 2020.

Vancouver:

Juri A. Applications of dependence concepts in insurance and finance. [Internet] [Doctoral dissertation]. ETH Zürich; 2002. [cited 2020 Jan 20]. Available from: http://hdl.handle.net/20.500.11850/146168.

Council of Science Editors:

Juri A. Applications of dependence concepts in insurance and finance. [Doctoral Dissertation]. ETH Zürich; 2002. Available from: http://hdl.handle.net/20.500.11850/146168

ETH Zürich

17.
Meng, Nicolas.
Optimal Portfolios: The Benefts of Advanced Techniques in *Risk* Management and Portfolio Optimization.

Degree: 2013, ETH Zürich

URL: http://hdl.handle.net/20.500.11850/67569

Subjects/Keywords: RISK THEORY (PROBABILITY THEORY); INVESTITIONSRISIKO; VALUE-AT-RISK MODELS (FINANCIAL MATHEMATICS); RISIKOTHEORIE (WAHRSCHEINLICHKEITSRECHNUNG); PORTFOLIOTHEORIE (OPERATIONS RESEARCH); PORTFOLIO SELECTION (OPERATIONS RESEARCH); VALUE-AT-RISK-MODELLE (FINANZMATHEMATIK); INVESTMENT RISK; info:eu-repo/classification/ddc/510; info:eu-repo/classification/ddc/330; Mathematics; Economics

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Meng, N. (2013). Optimal Portfolios: The Benefts of Advanced Techniques in Risk Management and Portfolio Optimization. (Thesis). ETH Zürich. Retrieved from http://hdl.handle.net/20.500.11850/67569

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Meng, Nicolas. “Optimal Portfolios: The Benefts of Advanced Techniques in Risk Management and Portfolio Optimization.” 2013. Thesis, ETH Zürich. Accessed January 20, 2020. http://hdl.handle.net/20.500.11850/67569.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Meng, Nicolas. “Optimal Portfolios: The Benefts of Advanced Techniques in Risk Management and Portfolio Optimization.” 2013. Web. 20 Jan 2020.

Vancouver:

Meng N. Optimal Portfolios: The Benefts of Advanced Techniques in Risk Management and Portfolio Optimization. [Internet] [Thesis]. ETH Zürich; 2013. [cited 2020 Jan 20]. Available from: http://hdl.handle.net/20.500.11850/67569.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Meng N. Optimal Portfolios: The Benefts of Advanced Techniques in Risk Management and Portfolio Optimization. [Thesis]. ETH Zürich; 2013. Available from: http://hdl.handle.net/20.500.11850/67569

Not specified: Masters Thesis or Doctoral Dissertation

ETH Zürich

18.
Höing, Andrea.
Topics in *risk* management for insurance and finance: ruin and dependence.

Degree: 2005, ETH Zürich

URL: http://hdl.handle.net/20.500.11850/148887

Subjects/Keywords: RISIKOANALYSE (OPERATIONS RESEARCH); RUINWAHRSCHEINLICHKEIT (WAHRSCHEINLICHKEITSRECHNUNG); MARKOVPROZESSE (WAHRSCHEINLICHKEITSRECHNUNG); VALUE-AT-RISK-MODELLE (FINANZMATHEMATIK); RISK ANALYSIS (OPERATIONS RESEARCH); RUIN PROBABILITY (PROBABILITY THEORY); MARKOV PROCESSES (PROBABILITY THEORY); VALUE-AT-RISK MODELS (FINANCIAL MATHEMATICS); info:eu-repo/classification/ddc/510; info:eu-repo/classification/ddc/510; Mathematics; Mathematics

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Höing, A. (2005). Topics in risk management for insurance and finance: ruin and dependence. (Doctoral Dissertation). ETH Zürich. Retrieved from http://hdl.handle.net/20.500.11850/148887

Chicago Manual of Style (16^{th} Edition):

Höing, Andrea. “Topics in risk management for insurance and finance: ruin and dependence.” 2005. Doctoral Dissertation, ETH Zürich. Accessed January 20, 2020. http://hdl.handle.net/20.500.11850/148887.

MLA Handbook (7^{th} Edition):

Höing, Andrea. “Topics in risk management for insurance and finance: ruin and dependence.” 2005. Web. 20 Jan 2020.

Vancouver:

Höing A. Topics in risk management for insurance and finance: ruin and dependence. [Internet] [Doctoral dissertation]. ETH Zürich; 2005. [cited 2020 Jan 20]. Available from: http://hdl.handle.net/20.500.11850/148887.

Council of Science Editors:

Höing A. Topics in risk management for insurance and finance: ruin and dependence. [Doctoral Dissertation]. ETH Zürich; 2005. Available from: http://hdl.handle.net/20.500.11850/148887

University of Exeter

19.
Yang, Shuai.
Jumps, realized volatility and *value*-*at*-* risk*.

Degree: PhD, 2012, University of Exeter

URL: http://hdl.handle.net/10036/3893

► This thesis consists of three research topics, which together study the related topics of volatility jumps, modeling volatility and forecasting *Value*-*at*-*Risk* (VaR). The first topic…
(more)

Subjects/Keywords: 332.642; volatility; Value at risk

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Yang, S. (2012). Jumps, realized volatility and value-at-risk. (Doctoral Dissertation). University of Exeter. Retrieved from http://hdl.handle.net/10036/3893

Chicago Manual of Style (16^{th} Edition):

Yang, Shuai. “Jumps, realized volatility and value-at-risk.” 2012. Doctoral Dissertation, University of Exeter. Accessed January 20, 2020. http://hdl.handle.net/10036/3893.

MLA Handbook (7^{th} Edition):

Yang, Shuai. “Jumps, realized volatility and value-at-risk.” 2012. Web. 20 Jan 2020.

Vancouver:

Yang S. Jumps, realized volatility and value-at-risk. [Internet] [Doctoral dissertation]. University of Exeter; 2012. [cited 2020 Jan 20]. Available from: http://hdl.handle.net/10036/3893.

Council of Science Editors:

Yang S. Jumps, realized volatility and value-at-risk. [Doctoral Dissertation]. University of Exeter; 2012. Available from: http://hdl.handle.net/10036/3893

Université de Lorraine

20.
Salhi, Khaled.
Risques extrêmes en finance : analyse et modélisation : *Financial* extreme risks : analysis and modeling.

Degree: Docteur es, Mathématiques, 2016, Université de Lorraine

URL: http://www.theses.fr/2016LORR0192

►

Cette thèse étudie la gestion et la couverture du risque en s’appuyant sur la *Value*-*at*-*Risk* (VaR) et la *Value*-*at*-*Risk* Conditionnelle (CVaR), comme mesures de risque.…
(more)

Subjects/Keywords: Value-At-Risk; Value-At-Risk Conditionnelle; Lois puissances; Modèles de Markov cachés; Processus de Lévy; Transformée de Fourier rapide; Lemme de Neyman-Pearson; Value-At-Risk; Conditional Value-At-Risk; Power laws; Hidden Markov models; Lévy processes; Fast Fourier transforms; Neyman-Pearson Lemma; 332.015 1

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Salhi, K. (2016). Risques extrêmes en finance : analyse et modélisation : Financial extreme risks : analysis and modeling. (Doctoral Dissertation). Université de Lorraine. Retrieved from http://www.theses.fr/2016LORR0192

Chicago Manual of Style (16^{th} Edition):

Salhi, Khaled. “Risques extrêmes en finance : analyse et modélisation : Financial extreme risks : analysis and modeling.” 2016. Doctoral Dissertation, Université de Lorraine. Accessed January 20, 2020. http://www.theses.fr/2016LORR0192.

MLA Handbook (7^{th} Edition):

Salhi, Khaled. “Risques extrêmes en finance : analyse et modélisation : Financial extreme risks : analysis and modeling.” 2016. Web. 20 Jan 2020.

Vancouver:

Salhi K. Risques extrêmes en finance : analyse et modélisation : Financial extreme risks : analysis and modeling. [Internet] [Doctoral dissertation]. Université de Lorraine; 2016. [cited 2020 Jan 20]. Available from: http://www.theses.fr/2016LORR0192.

Council of Science Editors:

Salhi K. Risques extrêmes en finance : analyse et modélisation : Financial extreme risks : analysis and modeling. [Doctoral Dissertation]. Université de Lorraine; 2016. Available from: http://www.theses.fr/2016LORR0192

21.
Strömqvist, Zakris.
Managing the extremes : An application of extreme *value* theory to *financial* *risk* management.

Degree: Statistics, 2016, Uppsala University

URL: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-296143

► We compare the traditional GARCH *models* with a semiparametric approach based on extreme *value* theory and find that the semiparametric approach yields more accurate…
(more)

Subjects/Keywords: Financial econometrics; Extreme Value Theory; Value-at-Risk; Volatility models; Risk management

…Saltoglu, B. (2006). Evaluating predictive performance of *value*‐*at*‐*risk*
*models* in… …Banking Supervision introduced the *Value*-*at*-*Risk*
(VaR) as the main quantitative tool… …*Value*-*at*-*Risk*
If we let α denote a small percentage, then the VaR of a certain asset (or… …widespread use among *risk* managers.
11
2.4.
Extreme *value* theory
When it comes to *financial*… …*Risk* predictions
As it is interesting to see how the different *models* perform *at* increasing…

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Strömqvist, Z. (2016). Managing the extremes : An application of extreme value theory to financial risk management. (Thesis). Uppsala University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-296143

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Strömqvist, Zakris. “Managing the extremes : An application of extreme value theory to financial risk management.” 2016. Thesis, Uppsala University. Accessed January 20, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-296143.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Strömqvist, Zakris. “Managing the extremes : An application of extreme value theory to financial risk management.” 2016. Web. 20 Jan 2020.

Vancouver:

Strömqvist Z. Managing the extremes : An application of extreme value theory to financial risk management. [Internet] [Thesis]. Uppsala University; 2016. [cited 2020 Jan 20]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-296143.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Strömqvist Z. Managing the extremes : An application of extreme value theory to financial risk management. [Thesis]. Uppsala University; 2016. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-296143

Not specified: Masters Thesis or Doctoral Dissertation

Ryerson University

22.
Thomas, Alex.
Rearrangement Algorithm in *Risk* Aggregation.

Degree: 2017, Ryerson University

URL: https://digital.library.ryerson.ca/islandora/object/RULA%3A6941

► Sometimes there’s no closed-form analytical solutions for the *risk* measure of aggregate losses representing, say, a company’s losses in each country or city it operates…
(more)

Subjects/Keywords: Mathematics – Research; Finance – Mathematical models; Financial risk management – Mathematical models.

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APA (6^{th} Edition):

Thomas, A. (2017). Rearrangement Algorithm in Risk Aggregation. (Thesis). Ryerson University. Retrieved from https://digital.library.ryerson.ca/islandora/object/RULA%3A6941

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Thomas, Alex. “Rearrangement Algorithm in Risk Aggregation.” 2017. Thesis, Ryerson University. Accessed January 20, 2020. https://digital.library.ryerson.ca/islandora/object/RULA%3A6941.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Thomas, Alex. “Rearrangement Algorithm in Risk Aggregation.” 2017. Web. 20 Jan 2020.

Vancouver:

Thomas A. Rearrangement Algorithm in Risk Aggregation. [Internet] [Thesis]. Ryerson University; 2017. [cited 2020 Jan 20]. Available from: https://digital.library.ryerson.ca/islandora/object/RULA%3A6941.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Thomas A. Rearrangement Algorithm in Risk Aggregation. [Thesis]. Ryerson University; 2017. Available from: https://digital.library.ryerson.ca/islandora/object/RULA%3A6941

Not specified: Masters Thesis or Doctoral Dissertation

23.
Gaio, Luiz Eduardo.
*Value**at* *Risk* no mercado financeiro internacional: avaliação da performance dos modelos nos países desenvolvidos e emergentes.

Degree: PhD, Administração de Organizações, 2015, University of São Paulo

URL: http://www.teses.usp.br/teses/disponiveis/96/96132/tde-20072015-155257/ ;

►

Diante das exigências estipuladas pelos órgãos reguladores pelos acordos internacionais, tendo em vistas as inúmeras crises financeiras ocorridas nos últimos séculos, as instituições financeiras desenvolveram… (more)

Subjects/Keywords: Copula; Cópula; Extreme Value Theory; GARCH models; Modelos GARCH; Neural Networking; Redes Neurais; Teoria de Valores Extremos; Value at Risk; Value at Risk

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Gaio, L. E. (2015). Value at Risk no mercado financeiro internacional: avaliação da performance dos modelos nos países desenvolvidos e emergentes. (Doctoral Dissertation). University of São Paulo. Retrieved from http://www.teses.usp.br/teses/disponiveis/96/96132/tde-20072015-155257/ ;

Chicago Manual of Style (16^{th} Edition):

Gaio, Luiz Eduardo. “Value at Risk no mercado financeiro internacional: avaliação da performance dos modelos nos países desenvolvidos e emergentes.” 2015. Doctoral Dissertation, University of São Paulo. Accessed January 20, 2020. http://www.teses.usp.br/teses/disponiveis/96/96132/tde-20072015-155257/ ;.

MLA Handbook (7^{th} Edition):

Gaio, Luiz Eduardo. “Value at Risk no mercado financeiro internacional: avaliação da performance dos modelos nos países desenvolvidos e emergentes.” 2015. Web. 20 Jan 2020.

Vancouver:

Gaio LE. Value at Risk no mercado financeiro internacional: avaliação da performance dos modelos nos países desenvolvidos e emergentes. [Internet] [Doctoral dissertation]. University of São Paulo; 2015. [cited 2020 Jan 20]. Available from: http://www.teses.usp.br/teses/disponiveis/96/96132/tde-20072015-155257/ ;.

Council of Science Editors:

Gaio LE. Value at Risk no mercado financeiro internacional: avaliação da performance dos modelos nos países desenvolvidos e emergentes. [Doctoral Dissertation]. University of São Paulo; 2015. Available from: http://www.teses.usp.br/teses/disponiveis/96/96132/tde-20072015-155257/ ;

Rice University

24.
Takhtaganov, Timur.
Efficient estimation of coherent *risk* measures for *risk*-averse optimization problems governed by partial differential equations with random inputs.

Degree: PhD, Engineering, 2017, Rice University

URL: http://hdl.handle.net/1911/105454

► The scope of this thesis is the assessment and design of structure-exploiting methods for the efficient estimation of *risk* measures of quantities of interest in…
(more)

Subjects/Keywords: optimization under uncertainty; PDE-constrained optimization; risk-averse optimization; risk measures; importance sampling; reduced order models; conditional value-at-risk

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Takhtaganov, T. (2017). Efficient estimation of coherent risk measures for risk-averse optimization problems governed by partial differential equations with random inputs. (Doctoral Dissertation). Rice University. Retrieved from http://hdl.handle.net/1911/105454

Chicago Manual of Style (16^{th} Edition):

Takhtaganov, Timur. “Efficient estimation of coherent risk measures for risk-averse optimization problems governed by partial differential equations with random inputs.” 2017. Doctoral Dissertation, Rice University. Accessed January 20, 2020. http://hdl.handle.net/1911/105454.

MLA Handbook (7^{th} Edition):

Takhtaganov, Timur. “Efficient estimation of coherent risk measures for risk-averse optimization problems governed by partial differential equations with random inputs.” 2017. Web. 20 Jan 2020.

Vancouver:

Takhtaganov T. Efficient estimation of coherent risk measures for risk-averse optimization problems governed by partial differential equations with random inputs. [Internet] [Doctoral dissertation]. Rice University; 2017. [cited 2020 Jan 20]. Available from: http://hdl.handle.net/1911/105454.

Council of Science Editors:

Takhtaganov T. Efficient estimation of coherent risk measures for risk-averse optimization problems governed by partial differential equations with random inputs. [Doctoral Dissertation]. Rice University; 2017. Available from: http://hdl.handle.net/1911/105454

KTH

25. Löfgren, Wilmer. Distributional Dynamics of Fama-French Factors in European Markets.

Degree: Mathematical Statistics, 2020, KTH

URL: http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-266381

►

The three-factor model of Fama and French has proved to be a seminal contribution to asset pricing theory, and was recently extended to include… (more)

Subjects/Keywords: Fama-French factors; NGARCH; Copula; Value-at-Risk; Risk model evaluation; Fama-French-faktorer; NGARCH; Copula; Value-at-Risk; Utvärdering av riskmodeller; Mathematics; Matematik

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Löfgren, W. (2020). Distributional Dynamics of Fama-French Factors in European Markets. (Thesis). KTH. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-266381

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Löfgren, Wilmer. “Distributional Dynamics of Fama-French Factors in European Markets.” 2020. Thesis, KTH. Accessed January 20, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-266381.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Löfgren, Wilmer. “Distributional Dynamics of Fama-French Factors in European Markets.” 2020. Web. 20 Jan 2020.

Vancouver:

Löfgren W. Distributional Dynamics of Fama-French Factors in European Markets. [Internet] [Thesis]. KTH; 2020. [cited 2020 Jan 20]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-266381.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Löfgren W. Distributional Dynamics of Fama-French Factors in European Markets. [Thesis]. KTH; 2020. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-266381

Not specified: Masters Thesis or Doctoral Dissertation

26.
GUAN JUNWEI.
Semiparametric modelling of *financial* volatility.

Degree: 2005, National University of Singapore

URL: https://scholarbank.nus.edu.sg/handle/10635/160993

Subjects/Keywords: Financial Volatility; Parametric Models for Financial Volatility; Kernel Smoothing; Local Linear Smoothing; Monotonicity; Value at Risk

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APA (6^{th} Edition):

JUNWEI, G. (2005). Semiparametric modelling of financial volatility. (Thesis). National University of Singapore. Retrieved from https://scholarbank.nus.edu.sg/handle/10635/160993

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

JUNWEI, GUAN. “Semiparametric modelling of financial volatility.” 2005. Thesis, National University of Singapore. Accessed January 20, 2020. https://scholarbank.nus.edu.sg/handle/10635/160993.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

JUNWEI, GUAN. “Semiparametric modelling of financial volatility.” 2005. Web. 20 Jan 2020.

Vancouver:

JUNWEI G. Semiparametric modelling of financial volatility. [Internet] [Thesis]. National University of Singapore; 2005. [cited 2020 Jan 20]. Available from: https://scholarbank.nus.edu.sg/handle/10635/160993.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

JUNWEI G. Semiparametric modelling of financial volatility. [Thesis]. National University of Singapore; 2005. Available from: https://scholarbank.nus.edu.sg/handle/10635/160993

Not specified: Masters Thesis or Doctoral Dissertation

Humboldt University of Berlin

27.
Sirotko-Sibirskaya, Natalia.
* Value*-

Degree: 2013, Humboldt University of Berlin

URL: http://edoc.hu-berlin.de/docviews/abstract.php?id=40391 ; http://edoc.hu-berlin.de/master/sirotko-sibirskaya-natalia-2013-11-19/PDF/sirotko-sibirskaya.pdf ; http://www.nbn-resolving.de/urn:nbn:de:kobv:11-100213539

►

Increasing complexity of *financial* instruments and improving data availability along with its variability pose new challenges for the academics as well as for practitioners. In…
(more)

Subjects/Keywords: Statistik; Wirtschaft; Value-at-Risk; value-at-risk; factor models; high-dimensionality; shrinkage; hohe Dimensionalität; Shrinkage-Schätzer; Kovarianz; Faktoren-Modelle; ddc:330

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Sirotko-Sibirskaya, N. (2013). Value-at-risk estimation for a high-dimensional portfolio. (Masters Thesis). Humboldt University of Berlin. Retrieved from http://edoc.hu-berlin.de/docviews/abstract.php?id=40391 ; http://edoc.hu-berlin.de/master/sirotko-sibirskaya-natalia-2013-11-19/PDF/sirotko-sibirskaya.pdf ; http://www.nbn-resolving.de/urn:nbn:de:kobv:11-100213539

Chicago Manual of Style (16^{th} Edition):

Sirotko-Sibirskaya, Natalia. “Value-at-risk estimation for a high-dimensional portfolio.” 2013. Masters Thesis, Humboldt University of Berlin. Accessed January 20, 2020. http://edoc.hu-berlin.de/docviews/abstract.php?id=40391 ; http://edoc.hu-berlin.de/master/sirotko-sibirskaya-natalia-2013-11-19/PDF/sirotko-sibirskaya.pdf ; http://www.nbn-resolving.de/urn:nbn:de:kobv:11-100213539.

MLA Handbook (7^{th} Edition):

Sirotko-Sibirskaya, Natalia. “Value-at-risk estimation for a high-dimensional portfolio.” 2013. Web. 20 Jan 2020.

Vancouver:

Sirotko-Sibirskaya N. Value-at-risk estimation for a high-dimensional portfolio. [Internet] [Masters thesis]. Humboldt University of Berlin; 2013. [cited 2020 Jan 20]. Available from: http://edoc.hu-berlin.de/docviews/abstract.php?id=40391 ; http://edoc.hu-berlin.de/master/sirotko-sibirskaya-natalia-2013-11-19/PDF/sirotko-sibirskaya.pdf ; http://www.nbn-resolving.de/urn:nbn:de:kobv:11-100213539.

Council of Science Editors:

Sirotko-Sibirskaya N. Value-at-risk estimation for a high-dimensional portfolio. [Masters Thesis]. Humboldt University of Berlin; 2013. Available from: http://edoc.hu-berlin.de/docviews/abstract.php?id=40391 ; http://edoc.hu-berlin.de/master/sirotko-sibirskaya-natalia-2013-11-19/PDF/sirotko-sibirskaya.pdf ; http://www.nbn-resolving.de/urn:nbn:de:kobv:11-100213539

Universidade do Rio Grande do Sul

28.
Coster, Rodrigo.
Comparando métodos de estimação de risco de um portfólio via Expected Shortfall e *Value* *at* * Risk*.

Degree: 2013, Universidade do Rio Grande do Sul

URL: http://hdl.handle.net/10183/76203

►

A mensuração do risco de um investimento é uma das mais importantes etapas para a tomada de decisão de um investidor. Em virtude disto, este… (more)

Subjects/Keywords: Copula; Risco financeiro; Investimento; Risk; Mensuração; Value at risk; Value at Risk : VaR; Value at risk

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Coster, R. (2013). Comparando métodos de estimação de risco de um portfólio via Expected Shortfall e Value at Risk. (Thesis). Universidade do Rio Grande do Sul. Retrieved from http://hdl.handle.net/10183/76203

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Coster, Rodrigo. “Comparando métodos de estimação de risco de um portfólio via Expected Shortfall e Value at Risk.” 2013. Thesis, Universidade do Rio Grande do Sul. Accessed January 20, 2020. http://hdl.handle.net/10183/76203.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Coster, Rodrigo. “Comparando métodos de estimação de risco de um portfólio via Expected Shortfall e Value at Risk.” 2013. Web. 20 Jan 2020.

Vancouver:

Coster R. Comparando métodos de estimação de risco de um portfólio via Expected Shortfall e Value at Risk. [Internet] [Thesis]. Universidade do Rio Grande do Sul; 2013. [cited 2020 Jan 20]. Available from: http://hdl.handle.net/10183/76203.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Coster R. Comparando métodos de estimação de risco de um portfólio via Expected Shortfall e Value at Risk. [Thesis]. Universidade do Rio Grande do Sul; 2013. Available from: http://hdl.handle.net/10183/76203

Not specified: Masters Thesis or Doctoral Dissertation

29.
Bustreo, Roberto.
Measuring the *risk* of *financial* portfolios with nonlinear instruments and non-Gaussian *risk* factors.

Degree: PhD, 2013, Brunel University

URL: http://bura.brunel.ac.uk/handle/2438/8343 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.600490

► The focus of my research has been computationally efficient means of computing measures of *risk* for portfolios of nonlinear *financial* instruments when the *risk* factors…
(more)

Subjects/Keywords: 658.15; Value-at-risk; Financial portfolios

…portfolios are introduced.
Next, a short history of *Value*-*at*-*Risk* is provided. This is followed by… …to control their risks or to appropriately allocate their
capital. *Value*-*at*-*Risk* (VaR… …managers
are able to make decisions based on *Value*-*at*-*Risk*. The Basel Accord and the market *risk*… …portfolios.
A sub-additive alternative to VaR is the conditional *Value*-*at*-*Risk* (CVaR)… …studies,
including portfolio optimization and option hedging. The conditional *Value*-*at*-*Risk* *at*…

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Bustreo, R. (2013). Measuring the risk of financial portfolios with nonlinear instruments and non-Gaussian risk factors. (Doctoral Dissertation). Brunel University. Retrieved from http://bura.brunel.ac.uk/handle/2438/8343 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.600490

Chicago Manual of Style (16^{th} Edition):

Bustreo, Roberto. “Measuring the risk of financial portfolios with nonlinear instruments and non-Gaussian risk factors.” 2013. Doctoral Dissertation, Brunel University. Accessed January 20, 2020. http://bura.brunel.ac.uk/handle/2438/8343 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.600490.

MLA Handbook (7^{th} Edition):

Bustreo, Roberto. “Measuring the risk of financial portfolios with nonlinear instruments and non-Gaussian risk factors.” 2013. Web. 20 Jan 2020.

Vancouver:

Bustreo R. Measuring the risk of financial portfolios with nonlinear instruments and non-Gaussian risk factors. [Internet] [Doctoral dissertation]. Brunel University; 2013. [cited 2020 Jan 20]. Available from: http://bura.brunel.ac.uk/handle/2438/8343 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.600490.

Council of Science Editors:

Bustreo R. Measuring the risk of financial portfolios with nonlinear instruments and non-Gaussian risk factors. [Doctoral Dissertation]. Brunel University; 2013. Available from: http://bura.brunel.ac.uk/handle/2438/8343 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.600490

KTH

30.
Prastorfer, Andreas.
Simulation Based Portfolio Optimization with Coherent Distortion *Risk* Measures.

Degree: Mathematical Statistics, 2020, KTH

URL: http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-266382

►

This master's thesis studies portfolio optimization using linear programming algorithms. The contribution of this thesis is an extension of the convex framework for portfolio… (more)

Subjects/Keywords: Risk Management; Portfolio Optimization; Conditional Value-at-Risk; Coherent Distortion Riks Measures; Elliptical Distribution; GARCH model; Normal Copulas; Extreme Value Theory; Risk Contributions; Riskhantering; Portföljoptimering; Conditional Value-at-Risk; Koherenta distortionsriskmått; Elliptiska fördelningar; GARCH modeller; Normal-copula; Extremvärdes teori; Riskbidrag; Mathematics; Matematik

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Prastorfer, A. (2020). Simulation Based Portfolio Optimization with Coherent Distortion Risk Measures. (Thesis). KTH. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-266382

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Prastorfer, Andreas. “Simulation Based Portfolio Optimization with Coherent Distortion Risk Measures.” 2020. Thesis, KTH. Accessed January 20, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-266382.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Prastorfer, Andreas. “Simulation Based Portfolio Optimization with Coherent Distortion Risk Measures.” 2020. Web. 20 Jan 2020.

Vancouver:

Prastorfer A. Simulation Based Portfolio Optimization with Coherent Distortion Risk Measures. [Internet] [Thesis]. KTH; 2020. [cited 2020 Jan 20]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-266382.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Prastorfer A. Simulation Based Portfolio Optimization with Coherent Distortion Risk Measures. [Thesis]. KTH; 2020. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-266382

Not specified: Masters Thesis or Doctoral Dissertation