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You searched for subject:(VALUE AT RISK MODELS FINANCIAL MATHEMATICS ). Showing records 1 – 30 of 111003 total matches.

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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

"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

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

APA (6th 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 (16th 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 (7th 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

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

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APA (6th 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 (16th 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 (7th 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

 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

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APA (6th 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 (16th 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 (7th 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

 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

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APA (6th 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 (16th 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 (7th 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

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

 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 (6th Edition):

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

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th 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.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th 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.

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

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

 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… 

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APA (6th 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

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th 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.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th 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.

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

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

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

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APA (6th 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 (16th 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 (7th 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

 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

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APA (6th 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 (16th 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 (7th 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

  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

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APA (6th 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

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th 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.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th 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.

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

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

 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

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APA (6th 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 (16th 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 (7th 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

 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

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APA (6th 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

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th 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.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th 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.

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

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

 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

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APA (6th 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 (16th 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 (7th 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

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

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APA (6th 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 (16th 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 (7th 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

 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 (6th 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

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th 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.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th 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.

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

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

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 (6th 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

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th 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.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th 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.

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

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


ETH Zürich

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

Degree: 2002, ETH Zürich

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 (6th 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 (16th 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 (7th 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

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

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APA (6th 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

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th 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.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th 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.

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

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

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

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APA (6th 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 (16th 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 (7th 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

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

Subjects/Keywords: 332.642; volatility; Value at risk

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APA (6th 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 (16th 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 (7th 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

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 (6th 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 (16th 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 (7th 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

  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 valueatrisk 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… 

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APA (6th 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

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th 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.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th 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.

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

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Ryerson University

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

Degree: 2017, Ryerson University

 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 (6th Edition):

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

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th 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.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th 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.

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

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

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 (6th 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 (16th 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 (7th 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

 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 (6th 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 (16th 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 (7th 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

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

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APA (6th 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

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th 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.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th 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.

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

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

26. GUAN JUNWEI. Semiparametric modelling of financial volatility.

Degree: 2005, National University of Singapore

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

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APA (6th Edition):

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

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th 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.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th 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.

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

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Humboldt University of Berlin

27. Sirotko-Sibirskaya, Natalia. Value-at-risk estimation for a high-dimensional portfolio.

Degree: 2013, Humboldt University of Berlin

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

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APA (6th 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 (16th 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 (7th 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

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

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APA (6th 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

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th 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.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th 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.

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

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

 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… 

Page 1 Page 2 Page 3 Page 4 Page 5 Page 6 Page 7

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

APA (6th 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 (16th 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 (7th 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

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

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

APA (6th 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

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th 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.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th 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.

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

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

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