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You searched for subject:(expected shortfall). Showing records 1 – 30 of 46 total matches.

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KTH

1. Holmsäter, Sara. Applying Multivariate Expected Shortfall on High Frequency Foreign Exchange Data.

Degree: Mathematical Statistics, 2016, KTH

This thesis aims at implementing and evaluating the performance of multivariate Expected Shortfall models on high frequency foreign exchange data. The implementation is conducted… (more)

Subjects/Keywords: Multivariate Expected Shortfall; Component Expected Shortfall

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

APA (6th Edition):

Holmsäter, S. (2016). Applying Multivariate Expected Shortfall on High Frequency Foreign Exchange Data. (Thesis). KTH. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-191004

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):

Holmsäter, Sara. “Applying Multivariate Expected Shortfall on High Frequency Foreign Exchange Data.” 2016. Thesis, KTH. Accessed October 19, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-191004.

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

MLA Handbook (7th Edition):

Holmsäter, Sara. “Applying Multivariate Expected Shortfall on High Frequency Foreign Exchange Data.” 2016. Web. 19 Oct 2019.

Vancouver:

Holmsäter S. Applying Multivariate Expected Shortfall on High Frequency Foreign Exchange Data. [Internet] [Thesis]. KTH; 2016. [cited 2019 Oct 19]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-191004.

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

Council of Science Editors:

Holmsäter S. Applying Multivariate Expected Shortfall on High Frequency Foreign Exchange Data. [Thesis]. KTH; 2016. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-191004

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


Technical University of Lisbon

2. Louro, Rui Alexandre Narciso Miguens. Evaluation of volatility models for forecasting value at risk in stock prices.

Degree: 2016, Technical University of Lisbon

Mestrado em Econometria Aplicada e Previsão

O trabalho descrito nesta Tese é referente ao cálculo de Value at Risk e Expected Shortfall que presentemente são… (more)

Subjects/Keywords: GARCH; Value at Risk; Expected Shortfall; backtesting

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APA (6th Edition):

Louro, R. A. N. M. (2016). Evaluation of volatility models for forecasting value at risk in stock prices. (Thesis). Technical University of Lisbon. Retrieved from http://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/12888

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):

Louro, Rui Alexandre Narciso Miguens. “Evaluation of volatility models for forecasting value at risk in stock prices.” 2016. Thesis, Technical University of Lisbon. Accessed October 19, 2019. http://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/12888.

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

MLA Handbook (7th Edition):

Louro, Rui Alexandre Narciso Miguens. “Evaluation of volatility models for forecasting value at risk in stock prices.” 2016. Web. 19 Oct 2019.

Vancouver:

Louro RANM. Evaluation of volatility models for forecasting value at risk in stock prices. [Internet] [Thesis]. Technical University of Lisbon; 2016. [cited 2019 Oct 19]. Available from: http://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/12888.

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

Council of Science Editors:

Louro RANM. Evaluation of volatility models for forecasting value at risk in stock prices. [Thesis]. Technical University of Lisbon; 2016. Available from: http://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/12888

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


Texas A&M University

3. Ding, Liyuan 1988-. Empirical Analysis of Value at Risk and Expected Shortfall in Portfolio Selection Problem.

Degree: 2012, Texas A&M University

 Safety first criterion and mean-shortfall criterion both explore cases of assets allocation with downside risk. In this paper, I compare safety first portfolio selection problem… (more)

Subjects/Keywords: Expected Shortfall; VaR; Mean-shortfall portfolio selection; Safety first portfolio selection

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APA (6th Edition):

Ding, L. 1. (2012). Empirical Analysis of Value at Risk and Expected Shortfall in Portfolio Selection Problem. (Thesis). Texas A&M University. Retrieved from http://hdl.handle.net/1969.1/148430

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):

Ding, Liyuan 1988-. “Empirical Analysis of Value at Risk and Expected Shortfall in Portfolio Selection Problem.” 2012. Thesis, Texas A&M University. Accessed October 19, 2019. http://hdl.handle.net/1969.1/148430.

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

MLA Handbook (7th Edition):

Ding, Liyuan 1988-. “Empirical Analysis of Value at Risk and Expected Shortfall in Portfolio Selection Problem.” 2012. Web. 19 Oct 2019.

Vancouver:

Ding L1. Empirical Analysis of Value at Risk and Expected Shortfall in Portfolio Selection Problem. [Internet] [Thesis]. Texas A&M University; 2012. [cited 2019 Oct 19]. Available from: http://hdl.handle.net/1969.1/148430.

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

Council of Science Editors:

Ding L1. Empirical Analysis of Value at Risk and Expected Shortfall in Portfolio Selection Problem. [Thesis]. Texas A&M University; 2012. Available from: http://hdl.handle.net/1969.1/148430

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


Uppsala University

4. Lindholm, Dennis. On Value-at-Risk and the more extreme : A study on quantitative market risk measurements.

Degree: Statistics, 2015, Uppsala University

  Inline with the third pillar of the Basel accords, quantitative market risk measurements are investigate and evaluated comparing JP Morgan’s RiskMetrics and Bollerslev’s GARCH… (more)

Subjects/Keywords: Expected shortfall; EVT; RiskMetrics; GARCH; Value-at-Risk; Basel

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APA (6th Edition):

Lindholm, D. (2015). On Value-at-Risk and the more extreme : A study on quantitative market risk measurements. (Thesis). Uppsala University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-256173

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):

Lindholm, Dennis. “On Value-at-Risk and the more extreme : A study on quantitative market risk measurements.” 2015. Thesis, Uppsala University. Accessed October 19, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-256173.

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

MLA Handbook (7th Edition):

Lindholm, Dennis. “On Value-at-Risk and the more extreme : A study on quantitative market risk measurements.” 2015. Web. 19 Oct 2019.

Vancouver:

Lindholm D. On Value-at-Risk and the more extreme : A study on quantitative market risk measurements. [Internet] [Thesis]. Uppsala University; 2015. [cited 2019 Oct 19]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-256173.

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

Council of Science Editors:

Lindholm D. On Value-at-Risk and the more extreme : A study on quantitative market risk measurements. [Thesis]. Uppsala University; 2015. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-256173

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


Uppsala University

5. Forsgren, Johan. How Low Can You Go? : Quantitative Risk Measures in Commodity Markets.

Degree: Statistics, 2016, Uppsala University

  The volatility model approach to forecasting Value at Risk is complemented with modelling of Expected Shortfalls using an extreme value approach. Using three models… (more)

Subjects/Keywords: Value at Risk; Expected Shortfall; GARCH; EGARCH; Extreme Value Theory; GPD

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APA (6th Edition):

Forsgren, J. (2016). How Low Can You Go? : Quantitative Risk Measures in Commodity Markets. (Thesis). Uppsala University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-314088

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):

Forsgren, Johan. “How Low Can You Go? : Quantitative Risk Measures in Commodity Markets.” 2016. Thesis, Uppsala University. Accessed October 19, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-314088.

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

MLA Handbook (7th Edition):

Forsgren, Johan. “How Low Can You Go? : Quantitative Risk Measures in Commodity Markets.” 2016. Web. 19 Oct 2019.

Vancouver:

Forsgren J. How Low Can You Go? : Quantitative Risk Measures in Commodity Markets. [Internet] [Thesis]. Uppsala University; 2016. [cited 2019 Oct 19]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-314088.

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

Council of Science Editors:

Forsgren J. How Low Can You Go? : Quantitative Risk Measures in Commodity Markets. [Thesis]. Uppsala University; 2016. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-314088

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

6. Silva, Francyelle de Lima e. Estimação de medidas de risco utilizando modelos CAViaR e CARE.

Degree: Mestrado, Estatística, 2010, University of São Paulo

Neste trabalho são definidos, discutidos e estimados o Valor em Risco e o Expected Shortfall. Estas são medidas de Risco Financeiro de Mercado muito utilizadas… (more)

Subjects/Keywords: CARE Models.; CAViaR Models; Expected Shortfall; Expected Shortfall; Expectil; Expectile; Extreme Value Theory; Modelos CARE.; Modelos CAViaR; Quantil; Quantile; Teoria dos Valores Extremos; Valor em Risco; Value at Risk

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APA (6th Edition):

Silva, F. d. L. e. (2010). Estimação de medidas de risco utilizando modelos CAViaR e CARE. (Masters Thesis). University of São Paulo. Retrieved from http://www.teses.usp.br/teses/disponiveis/45/45133/tde-12082010-170625/ ;

Chicago Manual of Style (16th Edition):

Silva, Francyelle de Lima e. “Estimação de medidas de risco utilizando modelos CAViaR e CARE.” 2010. Masters Thesis, University of São Paulo. Accessed October 19, 2019. http://www.teses.usp.br/teses/disponiveis/45/45133/tde-12082010-170625/ ;.

MLA Handbook (7th Edition):

Silva, Francyelle de Lima e. “Estimação de medidas de risco utilizando modelos CAViaR e CARE.” 2010. Web. 19 Oct 2019.

Vancouver:

Silva FdLe. Estimação de medidas de risco utilizando modelos CAViaR e CARE. [Internet] [Masters thesis]. University of São Paulo; 2010. [cited 2019 Oct 19]. Available from: http://www.teses.usp.br/teses/disponiveis/45/45133/tde-12082010-170625/ ;.

Council of Science Editors:

Silva FdLe. Estimação de medidas de risco utilizando modelos CAViaR e CARE. [Masters Thesis]. University of São Paulo; 2010. Available from: http://www.teses.usp.br/teses/disponiveis/45/45133/tde-12082010-170625/ ;


KTH

7. Isaksson, Daniel. Robust portfolio optimization with Expected Shortfall.

Degree: Mathematical Statistics, 2016, KTH

This thesis project studies robust portfolio optimization with Expected Short-fall applied to a reference portfolio consisting of Swedish linear assets with stocks and a… (more)

Subjects/Keywords: Robust Portfolio Optimization; Risk Management; Expected Shortfall; Elliptical Distributions; GARCH model; Normal Copula; Hybrid Generalized Pareto-Empirical-Generalized Pareto Marginals; Markowitz Mean-Variance Optimization; Contribution Expected Shortfall

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

APA (6th Edition):

Isaksson, D. (2016). Robust portfolio optimization with Expected Shortfall. (Thesis). KTH. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-187888

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):

Isaksson, Daniel. “Robust portfolio optimization with Expected Shortfall.” 2016. Thesis, KTH. Accessed October 19, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-187888.

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

MLA Handbook (7th Edition):

Isaksson, Daniel. “Robust portfolio optimization with Expected Shortfall.” 2016. Web. 19 Oct 2019.

Vancouver:

Isaksson D. Robust portfolio optimization with Expected Shortfall. [Internet] [Thesis]. KTH; 2016. [cited 2019 Oct 19]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-187888.

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

Council of Science Editors:

Isaksson D. Robust portfolio optimization with Expected Shortfall. [Thesis]. KTH; 2016. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-187888

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


Brno University of Technology

8. Kubelka, Lukáš. Metody stochastického programováni pro investiční rozhodování .

Degree: 2014, Brno University of Technology

 Tato práce se zabývá metodami stochastického programování a jejich využitím v oblasti finančního investování. Teoretická část práce je věnována základním pojmům matematické optimalizace, stochastického programování… (more)

Subjects/Keywords: Stochastické programování; optimalizace portfolia; míra rizika; Value at Risk; Expected shortfall.; Stochastic programming; portfolio optimization; risk measure; Value at Risk; Expected shortfall.

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

APA (6th Edition):

Kubelka, L. (2014). Metody stochastického programováni pro investiční rozhodování . (Thesis). Brno University of Technology. Retrieved from http://hdl.handle.net/11012/33921

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):

Kubelka, Lukáš. “Metody stochastického programováni pro investiční rozhodování .” 2014. Thesis, Brno University of Technology. Accessed October 19, 2019. http://hdl.handle.net/11012/33921.

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

MLA Handbook (7th Edition):

Kubelka, Lukáš. “Metody stochastického programováni pro investiční rozhodování .” 2014. Web. 19 Oct 2019.

Vancouver:

Kubelka L. Metody stochastického programováni pro investiční rozhodování . [Internet] [Thesis]. Brno University of Technology; 2014. [cited 2019 Oct 19]. Available from: http://hdl.handle.net/11012/33921.

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

Council of Science Editors:

Kubelka L. Metody stochastického programováni pro investiční rozhodování . [Thesis]. Brno University of Technology; 2014. Available from: http://hdl.handle.net/11012/33921

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


NSYSU

9. Lin, Ching-yi. Importance sampling estimation of portfolio expected shortfall via copula approach.

Degree: Master, Applied Mathematics, 2014, NSYSU

Expected shortfall is a measure of financial portfolio risk. In this study, we consider the problem of estimating expected shortfall of a portfolio. We use… (more)

Subjects/Keywords: D-vine; copula; kernel density estimation; expected shortfall; importance sampling; C-vine

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APA (6th Edition):

Lin, C. (2014). Importance sampling estimation of portfolio expected shortfall via copula approach. (Thesis). NSYSU. Retrieved from http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0728114-212246

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):

Lin, Ching-yi. “Importance sampling estimation of portfolio expected shortfall via copula approach.” 2014. Thesis, NSYSU. Accessed October 19, 2019. http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0728114-212246.

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

MLA Handbook (7th Edition):

Lin, Ching-yi. “Importance sampling estimation of portfolio expected shortfall via copula approach.” 2014. Web. 19 Oct 2019.

Vancouver:

Lin C. Importance sampling estimation of portfolio expected shortfall via copula approach. [Internet] [Thesis]. NSYSU; 2014. [cited 2019 Oct 19]. Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0728114-212246.

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

Council of Science Editors:

Lin C. Importance sampling estimation of portfolio expected shortfall via copula approach. [Thesis]. NSYSU; 2014. Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0728114-212246

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


Brunel University

10. Ally, Abdallah K. Quantile-based methods for prediction, risk measurement and inference.

Degree: PhD, 2010, Brunel University

 The focus of this thesis is on the employment of theoretical and practical quantile methods in addressing prediction, risk measurement and inference problems. From a… (more)

Subjects/Keywords: 519; Prediction intervals; Expected shortfall; Realised volatility; Integrated volatility; Quantile regression confidence bands

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

APA (6th Edition):

Ally, A. K. (2010). Quantile-based methods for prediction, risk measurement and inference. (Doctoral Dissertation). Brunel University. Retrieved from http://bura.brunel.ac.uk/handle/2438/5342 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.535936

Chicago Manual of Style (16th Edition):

Ally, Abdallah K. “Quantile-based methods for prediction, risk measurement and inference.” 2010. Doctoral Dissertation, Brunel University. Accessed October 19, 2019. http://bura.brunel.ac.uk/handle/2438/5342 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.535936.

MLA Handbook (7th Edition):

Ally, Abdallah K. “Quantile-based methods for prediction, risk measurement and inference.” 2010. Web. 19 Oct 2019.

Vancouver:

Ally AK. Quantile-based methods for prediction, risk measurement and inference. [Internet] [Doctoral dissertation]. Brunel University; 2010. [cited 2019 Oct 19]. Available from: http://bura.brunel.ac.uk/handle/2438/5342 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.535936.

Council of Science Editors:

Ally AK. Quantile-based methods for prediction, risk measurement and inference. [Doctoral Dissertation]. Brunel University; 2010. Available from: http://bura.brunel.ac.uk/handle/2438/5342 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.535936


Uppsala University

11. Bakker, Rinke. The influence of consolidation and internationalization on systemic risk in the financial sector.

Degree: Business Studies, 2018, Uppsala University

  This paper analyses the impact of banking mergers on systemic risk, with in particular if internationalization prior to acquisition increases systemic risk. By using… (more)

Subjects/Keywords: Marginal Expected Shortfall; Internationalization; Mergers and Acquisitions; Banking; Consolidation; Business Administration; Företagsekonomi

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APA (6th Edition):

Bakker, R. (2018). The influence of consolidation and internationalization on systemic risk in the financial sector. (Thesis). Uppsala University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-347180

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):

Bakker, Rinke. “The influence of consolidation and internationalization on systemic risk in the financial sector.” 2018. Thesis, Uppsala University. Accessed October 19, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-347180.

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

MLA Handbook (7th Edition):

Bakker, Rinke. “The influence of consolidation and internationalization on systemic risk in the financial sector.” 2018. Web. 19 Oct 2019.

Vancouver:

Bakker R. The influence of consolidation and internationalization on systemic risk in the financial sector. [Internet] [Thesis]. Uppsala University; 2018. [cited 2019 Oct 19]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-347180.

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

Council of Science Editors:

Bakker R. The influence of consolidation and internationalization on systemic risk in the financial sector. [Thesis]. Uppsala University; 2018. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-347180

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


University of Illinois – Urbana-Champaign

12. Hsu, Ya-Hui. Applications of quantile regression to estimation and detection of some tail characteristics.

Degree: PhD, 0329, 2010, University of Illinois – Urbana-Champaign

 The statistical inference based on the ordinary least squares regression is sub-optimal when the distributions are skewed or when the quantity of interest is the… (more)

Subjects/Keywords: Expected Shortfall; Quantile; Total Sharp Score; Conditional Autoregressive Value at Risk (CAViaR); Bayesian Inference

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APA (6th Edition):

Hsu, Y. (2010). Applications of quantile regression to estimation and detection of some tail characteristics. (Doctoral Dissertation). University of Illinois – Urbana-Champaign. Retrieved from http://hdl.handle.net/2142/16749

Chicago Manual of Style (16th Edition):

Hsu, Ya-Hui. “Applications of quantile regression to estimation and detection of some tail characteristics.” 2010. Doctoral Dissertation, University of Illinois – Urbana-Champaign. Accessed October 19, 2019. http://hdl.handle.net/2142/16749.

MLA Handbook (7th Edition):

Hsu, Ya-Hui. “Applications of quantile regression to estimation and detection of some tail characteristics.” 2010. Web. 19 Oct 2019.

Vancouver:

Hsu Y. Applications of quantile regression to estimation and detection of some tail characteristics. [Internet] [Doctoral dissertation]. University of Illinois – Urbana-Champaign; 2010. [cited 2019 Oct 19]. Available from: http://hdl.handle.net/2142/16749.

Council of Science Editors:

Hsu Y. Applications of quantile regression to estimation and detection of some tail characteristics. [Doctoral Dissertation]. University of Illinois – Urbana-Champaign; 2010. Available from: http://hdl.handle.net/2142/16749

13. Volosenkina, Viktorija. Credit Default Swaps as Hedging Instruments Against Banks' Stock Price Fluctuations Before and During Financial Crisis.

Degree: Master, Economics, 2010, ISM University of Management and Economics

In this paper dependence between credit default swap (CDS) values and stock price movements of the largest European banking groups is examined and effectiveness of… (more)

Subjects/Keywords: Credit default swap; Hedge; Copula; Value-at-Risk; Expected Shortfall; Kredito rizikos apsikeitimo sandoris; Draudimasis; Kopula; Rizikos vertė; Tikėtinas vertės trūkumas

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APA (6th Edition):

Volosenkina, Viktorija. (2010). Credit Default Swaps as Hedging Instruments Against Banks' Stock Price Fluctuations Before and During Financial Crisis. (Masters Thesis). ISM University of Management and Economics. Retrieved from http://vddb.laba.lt/obj/LT-eLABa-0001:E.02~2010~D_20100623_094310-03759 ;

Note: this citation may be lacking information needed for this citation format:
Author name may be incomplete

Chicago Manual of Style (16th Edition):

Volosenkina, Viktorija. “Credit Default Swaps as Hedging Instruments Against Banks' Stock Price Fluctuations Before and During Financial Crisis.” 2010. Masters Thesis, ISM University of Management and Economics. Accessed October 19, 2019. http://vddb.laba.lt/obj/LT-eLABa-0001:E.02~2010~D_20100623_094310-03759 ;.

Note: this citation may be lacking information needed for this citation format:
Author name may be incomplete

MLA Handbook (7th Edition):

Volosenkina, Viktorija. “Credit Default Swaps as Hedging Instruments Against Banks' Stock Price Fluctuations Before and During Financial Crisis.” 2010. Web. 19 Oct 2019.

Note: this citation may be lacking information needed for this citation format:
Author name may be incomplete

Vancouver:

Volosenkina, Viktorija. Credit Default Swaps as Hedging Instruments Against Banks' Stock Price Fluctuations Before and During Financial Crisis. [Internet] [Masters thesis]. ISM University of Management and Economics; 2010. [cited 2019 Oct 19]. Available from: http://vddb.laba.lt/obj/LT-eLABa-0001:E.02~2010~D_20100623_094310-03759 ;.

Note: this citation may be lacking information needed for this citation format:
Author name may be incomplete

Council of Science Editors:

Volosenkina, Viktorija. Credit Default Swaps as Hedging Instruments Against Banks' Stock Price Fluctuations Before and During Financial Crisis. [Masters Thesis]. ISM University of Management and Economics; 2010. Available from: http://vddb.laba.lt/obj/LT-eLABa-0001:E.02~2010~D_20100623_094310-03759 ;

Note: this citation may be lacking information needed for this citation format:
Author name may be incomplete

14. Fredriksson, Malin. Monte Carlo Simulations of Portfolios Allocated with Structured Products : A method to see the effect on risk and return for long time horizons.

Degree: Physics, 2018, Umeå University

  Structured products are complex non-linear financial instruments that make it difficult to calculate their future risk and return. Two categories of structured products are… (more)

Subjects/Keywords: Monte Carlo; Finance; Value-at-Risk; Expected Shortfall; Portfolio; Non-linear instruments; Structured Products; Other Physics Topics; Annan fysik

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

APA (6th Edition):

Fredriksson, M. (2018). Monte Carlo Simulations of Portfolios Allocated with Structured Products : A method to see the effect on risk and return for long time horizons. (Thesis). Umeå University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-144162

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):

Fredriksson, Malin. “Monte Carlo Simulations of Portfolios Allocated with Structured Products : A method to see the effect on risk and return for long time horizons.” 2018. Thesis, Umeå University. Accessed October 19, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-144162.

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

MLA Handbook (7th Edition):

Fredriksson, Malin. “Monte Carlo Simulations of Portfolios Allocated with Structured Products : A method to see the effect on risk and return for long time horizons.” 2018. Web. 19 Oct 2019.

Vancouver:

Fredriksson M. Monte Carlo Simulations of Portfolios Allocated with Structured Products : A method to see the effect on risk and return for long time horizons. [Internet] [Thesis]. Umeå University; 2018. [cited 2019 Oct 19]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-144162.

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

Council of Science Editors:

Fredriksson M. Monte Carlo Simulations of Portfolios Allocated with Structured Products : A method to see the effect on risk and return for long time horizons. [Thesis]. Umeå University; 2018. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-144162

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


Univerzitet u Beogradu

15. Totić, Selena. 1979-. Interni modeli za procenu tržišnog rizika zasnovani na uslovnom gubitku.

Degree: Fakultet organizacionih nauka, 2016, Univerzitet u Beogradu

Društvene nauke / Finansijsko predviđanje i simulacija, finansijska ekonometrija Social sciences / financial forecasting and simulation, financial econometrics

Upravljanje tržišnim rizicima u finansijskim institucijama se… (more)

Subjects/Keywords: expected shortfall; Value-at-Risk; backtesting; volatility; fat tails; GARCH; extreme value theory; capital requirements; simulation

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

APA (6th Edition):

Totić, S. 1. (2016). Interni modeli za procenu tržišnog rizika zasnovani na uslovnom gubitku. (Thesis). Univerzitet u Beogradu. Retrieved from https://fedorabg.bg.ac.rs/fedora/get/o:13185/bdef:Content/get

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):

Totić, Selena 1979-. “Interni modeli za procenu tržišnog rizika zasnovani na uslovnom gubitku.” 2016. Thesis, Univerzitet u Beogradu. Accessed October 19, 2019. https://fedorabg.bg.ac.rs/fedora/get/o:13185/bdef:Content/get.

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

MLA Handbook (7th Edition):

Totić, Selena 1979-. “Interni modeli za procenu tržišnog rizika zasnovani na uslovnom gubitku.” 2016. Web. 19 Oct 2019.

Vancouver:

Totić S1. Interni modeli za procenu tržišnog rizika zasnovani na uslovnom gubitku. [Internet] [Thesis]. Univerzitet u Beogradu; 2016. [cited 2019 Oct 19]. Available from: https://fedorabg.bg.ac.rs/fedora/get/o:13185/bdef:Content/get.

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

Council of Science Editors:

Totić S1. Interni modeli za procenu tržišnog rizika zasnovani na uslovnom gubitku. [Thesis]. Univerzitet u Beogradu; 2016. Available from: https://fedorabg.bg.ac.rs/fedora/get/o:13185/bdef:Content/get

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


Universidade do Rio Grande do Sul

16. Silveira Neto, Paulo Corrêa da. Utilização de cópulas com dinâmica semiparamétrica para estimação de medidas de risco de mercado.

Degree: 2015, Universidade do Rio Grande do Sul

A análise de risco de mercado, o risco associado a perdas financeiras resultantes de utilizações de preços de mercado, é fundamental para instituições financeiras e… (more)

Subjects/Keywords: Dynamic cópulas; Inferencia nao parametrica; Semiparametric dynamics; Inferência estatística; Estimação; Market risk; Value at risk; Expected shortfall

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APA (6th Edition):

Silveira Neto, P. C. d. (2015). Utilização de cópulas com dinâmica semiparamétrica para estimação de medidas de risco de mercado. (Thesis). Universidade do Rio Grande do Sul. Retrieved from http://hdl.handle.net/10183/147464

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):

Silveira Neto, Paulo Corrêa da. “Utilização de cópulas com dinâmica semiparamétrica para estimação de medidas de risco de mercado.” 2015. Thesis, Universidade do Rio Grande do Sul. Accessed October 19, 2019. http://hdl.handle.net/10183/147464.

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

MLA Handbook (7th Edition):

Silveira Neto, Paulo Corrêa da. “Utilização de cópulas com dinâmica semiparamétrica para estimação de medidas de risco de mercado.” 2015. Web. 19 Oct 2019.

Vancouver:

Silveira Neto PCd. Utilização de cópulas com dinâmica semiparamétrica para estimação de medidas de risco de mercado. [Internet] [Thesis]. Universidade do Rio Grande do Sul; 2015. [cited 2019 Oct 19]. Available from: http://hdl.handle.net/10183/147464.

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

Council of Science Editors:

Silveira Neto PCd. Utilização de cópulas com dinâmica semiparamétrica para estimação de medidas de risco de mercado. [Thesis]. Universidade do Rio Grande do Sul; 2015. Available from: http://hdl.handle.net/10183/147464

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

17. Li, Kehan. Stress, uncertainty and multimodality of risk measures : Stress, incertitude et multimodalité des mesures de risque.

Degree: Docteur es, Mathématiques appliquées, 2017, Paris 1

Dans cette thèse, nous discutons du stress, de l'incertitude et de la multimodalité des mesures de risque en accordant une attention particulière à deux parties.… (more)

Subjects/Keywords: Stress; Multimodalité; Mesures de risque; Value at risk; Uncertainty; Asymptotic theory; Confidence interval; Stress testing; Multimodality; Distortion; Expected shortfall; 510

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

APA (6th Edition):

Li, K. (2017). Stress, uncertainty and multimodality of risk measures : Stress, incertitude et multimodalité des mesures de risque. (Doctoral Dissertation). Paris 1. Retrieved from http://www.theses.fr/2017PA01E068

Chicago Manual of Style (16th Edition):

Li, Kehan. “Stress, uncertainty and multimodality of risk measures : Stress, incertitude et multimodalité des mesures de risque.” 2017. Doctoral Dissertation, Paris 1. Accessed October 19, 2019. http://www.theses.fr/2017PA01E068.

MLA Handbook (7th Edition):

Li, Kehan. “Stress, uncertainty and multimodality of risk measures : Stress, incertitude et multimodalité des mesures de risque.” 2017. Web. 19 Oct 2019.

Vancouver:

Li K. Stress, uncertainty and multimodality of risk measures : Stress, incertitude et multimodalité des mesures de risque. [Internet] [Doctoral dissertation]. Paris 1; 2017. [cited 2019 Oct 19]. Available from: http://www.theses.fr/2017PA01E068.

Council of Science Editors:

Li K. Stress, uncertainty and multimodality of risk measures : Stress, incertitude et multimodalité des mesures de risque. [Doctoral Dissertation]. Paris 1; 2017. Available from: http://www.theses.fr/2017PA01E068


Queensland University of Technology

18. Wong, Chung To (Charles). Applications of constrained non-parametric smoothing methods in computing financial risk.

Degree: 2008, Queensland University of Technology

 The aim of this thesis is to improve risk measurement estimation by incorporating extra information in the form of constraint into completely non-parametric smoothing techniques.… (more)

Subjects/Keywords: constraint method; expected shortfall; non-parametric approach; recovery rate density; intraday volatility; risk management; value-at-risk

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APA (6th Edition):

Wong, C. T. (. (2008). Applications of constrained non-parametric smoothing methods in computing financial risk. (Thesis). Queensland University of Technology. Retrieved from https://eprints.qut.edu.au/20537/

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):

Wong, Chung To (Charles). “Applications of constrained non-parametric smoothing methods in computing financial risk.” 2008. Thesis, Queensland University of Technology. Accessed October 19, 2019. https://eprints.qut.edu.au/20537/.

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

MLA Handbook (7th Edition):

Wong, Chung To (Charles). “Applications of constrained non-parametric smoothing methods in computing financial risk.” 2008. Web. 19 Oct 2019.

Vancouver:

Wong CT(. Applications of constrained non-parametric smoothing methods in computing financial risk. [Internet] [Thesis]. Queensland University of Technology; 2008. [cited 2019 Oct 19]. Available from: https://eprints.qut.edu.au/20537/.

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

Council of Science Editors:

Wong CT(. Applications of constrained non-parametric smoothing methods in computing financial risk. [Thesis]. Queensland University of Technology; 2008. Available from: https://eprints.qut.edu.au/20537/

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


University of Debrecen

19. Magyar, Tamás. Az Expected Shortfall back-tesztje és ehhez kapcsolódó eszközök .

Degree: DE – Gazdaságtudományi Kar, University of Debrecen

 A dolgozat az Expected Shortfall back-tesztjét mutatja be és az ehhez kapcsolódó matematikai eszközöket. A pénzügyi kockázat területei és kockázati mértékek bemutatásra kerülnek a Bázeli… (more)

Subjects/Keywords: Expected Shortfall; Back-test; Value at Risk

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

APA (6th Edition):

Magyar, T. (n.d.). Az Expected Shortfall back-tesztje és ehhez kapcsolódó eszközök . (Thesis). University of Debrecen. Retrieved from http://hdl.handle.net/2437/244942

Note: this citation may be lacking information needed for this citation format:
No year of publication.
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Magyar, Tamás. “Az Expected Shortfall back-tesztje és ehhez kapcsolódó eszközök .” Thesis, University of Debrecen. Accessed October 19, 2019. http://hdl.handle.net/2437/244942.

Note: this citation may be lacking information needed for this citation format:
No year of publication.
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Magyar, Tamás. “Az Expected Shortfall back-tesztje és ehhez kapcsolódó eszközök .” Web. 19 Oct 2019.

Note: this citation may be lacking information needed for this citation format:
No year of publication.

Vancouver:

Magyar T. Az Expected Shortfall back-tesztje és ehhez kapcsolódó eszközök . [Internet] [Thesis]. University of Debrecen; [cited 2019 Oct 19]. Available from: http://hdl.handle.net/2437/244942.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
No year of publication.

Council of Science Editors:

Magyar T. Az Expected Shortfall back-tesztje és ehhez kapcsolódó eszközök . [Thesis]. University of Debrecen; Available from: http://hdl.handle.net/2437/244942

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
No year of publication.

20. Wimmerstedt, Lisa. Backtesting Expected Shortfall: the design and implementation of different backtests.

Degree: Mathematical Statistics, 2015, KTH

In recent years, the question of whether Expected Shortfall is possible to backtest has been a hot topic after the findings of Gneiting in… (more)

Subjects/Keywords: Expected Shortfall; Backtests; Value-at-Risk; Elicitability

…measures . . 2.2 Value-at-Risk . . . . . . . . . . . . . . . . . . . . 2.3 Expected Shortfall… …2.4 Parametric values of VaR and Expected Shortfall 2.5 Elicitability… …5 5 7 8 8 11 16 19 3 The 3.1 3.2 3.3 3.4 3.5 design of different Expected Shortfall… …false Expected Shortfall predictions Methodology… …Expected Shortfall predictions 39 . . . . . . . . . . . . . . . . . . . . . 39… 

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

APA (6th Edition):

Wimmerstedt, L. (2015). Backtesting Expected Shortfall: the design and implementation of different backtests. (Thesis). KTH. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-172444

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):

Wimmerstedt, Lisa. “Backtesting Expected Shortfall: the design and implementation of different backtests.” 2015. Thesis, KTH. Accessed October 19, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-172444.

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

MLA Handbook (7th Edition):

Wimmerstedt, Lisa. “Backtesting Expected Shortfall: the design and implementation of different backtests.” 2015. Web. 19 Oct 2019.

Vancouver:

Wimmerstedt L. Backtesting Expected Shortfall: the design and implementation of different backtests. [Internet] [Thesis]. KTH; 2015. [cited 2019 Oct 19]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-172444.

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

Council of Science Editors:

Wimmerstedt L. Backtesting Expected Shortfall: the design and implementation of different backtests. [Thesis]. KTH; 2015. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-172444

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


Universidade de Lisboa

21. Gameiro, Ana Reis. Avaliação empírica do risco de mercado: expected shortfall vs value-at-risk.

Degree: 2017, Universidade de Lisboa

Tese de mestrado em Matemática Financeira, apresentada à Universidade de Lisboa, através da Faculdade de Ciências, 2017

O risco financeiro tem influenciado cada vez mais… (more)

Subjects/Keywords: Expected shortfall; Value-at-risk; Simulação histórica; GARCH; T-student; Teses de mestrado - 2017; Domínio/Área Científica::Ciências Naturais::Matemáticas

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

APA (6th Edition):

Gameiro, A. R. (2017). Avaliação empírica do risco de mercado: expected shortfall vs value-at-risk. (Thesis). Universidade de Lisboa. Retrieved from https://www.rcaap.pt/detail.jsp?id=oai:repositorio.ul.pt:10451/30269

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):

Gameiro, Ana Reis. “Avaliação empírica do risco de mercado: expected shortfall vs value-at-risk.” 2017. Thesis, Universidade de Lisboa. Accessed October 19, 2019. https://www.rcaap.pt/detail.jsp?id=oai:repositorio.ul.pt:10451/30269.

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

MLA Handbook (7th Edition):

Gameiro, Ana Reis. “Avaliação empírica do risco de mercado: expected shortfall vs value-at-risk.” 2017. Web. 19 Oct 2019.

Vancouver:

Gameiro AR. Avaliação empírica do risco de mercado: expected shortfall vs value-at-risk. [Internet] [Thesis]. Universidade de Lisboa; 2017. [cited 2019 Oct 19]. Available from: https://www.rcaap.pt/detail.jsp?id=oai:repositorio.ul.pt:10451/30269.

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

Council of Science Editors:

Gameiro AR. Avaliação empírica do risco de mercado: expected shortfall vs value-at-risk. [Thesis]. Universidade de Lisboa; 2017. Available from: https://www.rcaap.pt/detail.jsp?id=oai:repositorio.ul.pt:10451/30269

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


KTH

22. Edberg, Patrik. Non-parametricbacktesting of expected shortfall.

Degree: Mathematical Statistics, 2017, KTH

Since the Basel Committee on Banking Supervision first suggested a transition to Expected Shortfall as the primary risk measure for financial institutions, the question… (more)

Subjects/Keywords: Backtesting Expected Shortfall; Non-parametric; Backtesting under Basel III; Backtesting under Fundamental review of the trading book.; Mathematical Analysis; Matematisk analys

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

APA (6th Edition):

Edberg, P. (2017). Non-parametricbacktesting of expected shortfall. (Thesis). KTH. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-207009

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):

Edberg, Patrik. “Non-parametricbacktesting of expected shortfall.” 2017. Thesis, KTH. Accessed October 19, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-207009.

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

MLA Handbook (7th Edition):

Edberg, Patrik. “Non-parametricbacktesting of expected shortfall.” 2017. Web. 19 Oct 2019.

Vancouver:

Edberg P. Non-parametricbacktesting of expected shortfall. [Internet] [Thesis]. KTH; 2017. [cited 2019 Oct 19]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-207009.

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

Council of Science Editors:

Edberg P. Non-parametricbacktesting of expected shortfall. [Thesis]. KTH; 2017. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-207009

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


North Carolina State University

23. Wu, Weiwei. Estimating Value at Risk and the Expected Shortfall for Heteroscedastic Financial Log Returns: A Two-Stage Method.

Degree: PhD, Statistics, 2005, North Carolina State University

 Value at Risk and the Expected Shortfall are two measurements of market risks for financial assets. Statistically, they are extreme quantiles of the distribution of… (more)

Subjects/Keywords: tree-GARCH; heteroscedastic; the Expected Shortfall; Value at Risk

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

APA (6th Edition):

Wu, W. (2005). Estimating Value at Risk and the Expected Shortfall for Heteroscedastic Financial Log Returns: A Two-Stage Method. (Doctoral Dissertation). North Carolina State University. Retrieved from http://www.lib.ncsu.edu/resolver/1840.16/4198

Chicago Manual of Style (16th Edition):

Wu, Weiwei. “Estimating Value at Risk and the Expected Shortfall for Heteroscedastic Financial Log Returns: A Two-Stage Method.” 2005. Doctoral Dissertation, North Carolina State University. Accessed October 19, 2019. http://www.lib.ncsu.edu/resolver/1840.16/4198.

MLA Handbook (7th Edition):

Wu, Weiwei. “Estimating Value at Risk and the Expected Shortfall for Heteroscedastic Financial Log Returns: A Two-Stage Method.” 2005. Web. 19 Oct 2019.

Vancouver:

Wu W. Estimating Value at Risk and the Expected Shortfall for Heteroscedastic Financial Log Returns: A Two-Stage Method. [Internet] [Doctoral dissertation]. North Carolina State University; 2005. [cited 2019 Oct 19]. Available from: http://www.lib.ncsu.edu/resolver/1840.16/4198.

Council of Science Editors:

Wu W. Estimating Value at Risk and the Expected Shortfall for Heteroscedastic Financial Log Returns: A Two-Stage Method. [Doctoral Dissertation]. North Carolina State University; 2005. Available from: http://www.lib.ncsu.edu/resolver/1840.16/4198


Edith Cowan University

24. 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 October 19, 2019. 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. 19 Oct 2019.

Vancouver:

Singh AK. Modelling Extreme Market Risk - A Study of Tail Related Risk Measures. [Internet] [Thesis]. Edith Cowan University; 2011. [cited 2019 Oct 19]. 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


Linköping University

25. Nilsson, Joakim. Hedgemöjligheter och riskmätning : för Lantmännen Agroetanol.

Degree: Management and Engineering, 2007, Linköping University

Examensarbetet studerar möjligheterna att använda en statisk cross hedge för att prissäkra etanol. Situationen som analyseras är hämtad från Lantmännen Agroetanol. Agroetanol är Sveriges… (more)

Subjects/Keywords: risk measure; Expected Shortfall; simulation; ethanol; wheat; hedge; etanol; vete; prisskydd; hedge; riskmätning; Expected Shortfall; simulering; Business and economics; Ekonomi

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APA (6th Edition):

Nilsson, J. (2007). Hedgemöjligheter och riskmätning : för Lantmännen Agroetanol. (Thesis). Linköping University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-10480

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):

Nilsson, Joakim. “Hedgemöjligheter och riskmätning : för Lantmännen Agroetanol.” 2007. Thesis, Linköping University. Accessed October 19, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-10480.

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

MLA Handbook (7th Edition):

Nilsson, Joakim. “Hedgemöjligheter och riskmätning : för Lantmännen Agroetanol.” 2007. Web. 19 Oct 2019.

Vancouver:

Nilsson J. Hedgemöjligheter och riskmätning : för Lantmännen Agroetanol. [Internet] [Thesis]. Linköping University; 2007. [cited 2019 Oct 19]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-10480.

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

Council of Science Editors:

Nilsson J. Hedgemöjligheter och riskmätning : för Lantmännen Agroetanol. [Thesis]. Linköping University; 2007. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-10480

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


University of Debrecen

26. Fülöp, Tamás. Value at Risk becslési módszerek .

Degree: DE – TEK – Informatikai Kar, 2006, University of Debrecen

 Napjaink legfontosabb problémája, elsősorban a bankok és biztosítók számára, a kockázat mérése. Korábban a legegyszerűbb eljárás ennek mérésére a szórás volt, de ez sok problémával… (more)

Subjects/Keywords: portfólió; Mean Carlo szimuláció; VaR; Expected Shortfall; R programnyelv; értékpapírok

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APA (6th Edition):

Fülöp, T. (2006). Value at Risk becslési módszerek . (Thesis). University of Debrecen. Retrieved from http://hdl.handle.net/2437/233

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):

Fülöp, Tamás. “Value at Risk becslési módszerek .” 2006. Thesis, University of Debrecen. Accessed October 19, 2019. http://hdl.handle.net/2437/233.

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

MLA Handbook (7th Edition):

Fülöp, Tamás. “Value at Risk becslési módszerek .” 2006. Web. 19 Oct 2019.

Vancouver:

Fülöp T. Value at Risk becslési módszerek . [Internet] [Thesis]. University of Debrecen; 2006. [cited 2019 Oct 19]. Available from: http://hdl.handle.net/2437/233.

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

Council of Science Editors:

Fülöp T. Value at Risk becslési módszerek . [Thesis]. University of Debrecen; 2006. Available from: http://hdl.handle.net/2437/233

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

27. Banulescu, Denisa-Georgiana. Four essays in financial econometrics : Quatre Essais sur l’Econométrie Financière.

Degree: Docteur es, Sciences économiques, 2014, Orléans; Universiteit Maastricht

Cette thèse se concentre sur des mesures du risque financier et la modélisation de la volatilité. L’objectifgénéral est : (i) de proposer de nouvelles techniques… (more)

Subjects/Keywords: Risque Systémique; Mesures de Risque à Haute Fréquence; Volatilité; MIDAS; Component Expected Shortfall; Backtesting; Value-at-Risk; Systemic Risk; Time-at-Risk; 330

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APA (6th Edition):

Banulescu, D. (2014). Four essays in financial econometrics : Quatre Essais sur l’Econométrie Financière. (Doctoral Dissertation). Orléans; Universiteit Maastricht. Retrieved from http://www.theses.fr/2014ORLE0505

Chicago Manual of Style (16th Edition):

Banulescu, Denisa-Georgiana. “Four essays in financial econometrics : Quatre Essais sur l’Econométrie Financière.” 2014. Doctoral Dissertation, Orléans; Universiteit Maastricht. Accessed October 19, 2019. http://www.theses.fr/2014ORLE0505.

MLA Handbook (7th Edition):

Banulescu, Denisa-Georgiana. “Four essays in financial econometrics : Quatre Essais sur l’Econométrie Financière.” 2014. Web. 19 Oct 2019.

Vancouver:

Banulescu D. Four essays in financial econometrics : Quatre Essais sur l’Econométrie Financière. [Internet] [Doctoral dissertation]. Orléans; Universiteit Maastricht; 2014. [cited 2019 Oct 19]. Available from: http://www.theses.fr/2014ORLE0505.

Council of Science Editors:

Banulescu D. Four essays in financial econometrics : Quatre Essais sur l’Econométrie Financière. [Doctoral Dissertation]. Orléans; Universiteit Maastricht; 2014. Available from: http://www.theses.fr/2014ORLE0505


Halmstad University

28. 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 October 19, 2019. 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. 19 Oct 2019.

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 2019 Oct 19]. 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 Pretoria

29. Mbona, Innocent Nqoba. Portfolio risk measures and option pricing under a Hybrid Brownian motion model.

Degree: MSc, Mathematics and Applied Mathematics, 2018, University of Pretoria

 The 2008/9 financial crisis intensified the search for realistic return models, that capture real market movements. The assumed underlying statistical distribution of financial returns plays… (more)

Subjects/Keywords: Hybrid model; Option pricing; Hedging; VaR and Expected Shortfall; Fat-tailed distribution; UCTD

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APA (6th Edition):

Mbona, I. N. (2018). Portfolio risk measures and option pricing under a Hybrid Brownian motion model. (Masters Thesis). University of Pretoria. Retrieved from http://hdl.handle.net/2263/64068

Chicago Manual of Style (16th Edition):

Mbona, Innocent Nqoba. “Portfolio risk measures and option pricing under a Hybrid Brownian motion model.” 2018. Masters Thesis, University of Pretoria. Accessed October 19, 2019. http://hdl.handle.net/2263/64068.

MLA Handbook (7th Edition):

Mbona, Innocent Nqoba. “Portfolio risk measures and option pricing under a Hybrid Brownian motion model.” 2018. Web. 19 Oct 2019.

Vancouver:

Mbona IN. Portfolio risk measures and option pricing under a Hybrid Brownian motion model. [Internet] [Masters thesis]. University of Pretoria; 2018. [cited 2019 Oct 19]. Available from: http://hdl.handle.net/2263/64068.

Council of Science Editors:

Mbona IN. Portfolio risk measures and option pricing under a Hybrid Brownian motion model. [Masters Thesis]. University of Pretoria; 2018. Available from: http://hdl.handle.net/2263/64068

30. Heinemann, Alexander M. Bootstrap inference for conditional risk measures.

Degree: 2019, ProefschriftMaken Maastricht

 Risk measures play a key role in financial risk management and are enforced by current legislation to protect financial stability. In particular Value-at-Risk (VaR) and… (more)

Subjects/Keywords: 2 International; Risk management; Finance; Value-at-Risk; Expected Shortfall; Bootstrap

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

APA (6th Edition):

Heinemann, A. M. (2019). Bootstrap inference for conditional risk measures. (Doctoral Dissertation). ProefschriftMaken Maastricht. Retrieved from https://cris.maastrichtuniversity.nl/portal/en/publications/bootstrap-inference-for-conditional-risk-measures(9f27564a-d5be-4e68-a11f-47900265dd29).html ; urn:nbn:nl:ui:27-9f27564a-d5be-4e68-a11f-47900265dd29 ; 9f27564a-d5be-4e68-a11f-47900265dd29 ; 10.26481/dis.20190620ah ; urn:isbn:9789463803724 ; urn:nbn:nl:ui:27-9f27564a-d5be-4e68-a11f-47900265dd29 ; https://cris.maastrichtuniversity.nl/portal/en/publications/bootstrap-inference-for-conditional-risk-measures(9f27564a-d5be-4e68-a11f-47900265dd29).html

Chicago Manual of Style (16th Edition):

Heinemann, Alexander M. “Bootstrap inference for conditional risk measures.” 2019. Doctoral Dissertation, ProefschriftMaken Maastricht. Accessed October 19, 2019. https://cris.maastrichtuniversity.nl/portal/en/publications/bootstrap-inference-for-conditional-risk-measures(9f27564a-d5be-4e68-a11f-47900265dd29).html ; urn:nbn:nl:ui:27-9f27564a-d5be-4e68-a11f-47900265dd29 ; 9f27564a-d5be-4e68-a11f-47900265dd29 ; 10.26481/dis.20190620ah ; urn:isbn:9789463803724 ; urn:nbn:nl:ui:27-9f27564a-d5be-4e68-a11f-47900265dd29 ; https://cris.maastrichtuniversity.nl/portal/en/publications/bootstrap-inference-for-conditional-risk-measures(9f27564a-d5be-4e68-a11f-47900265dd29).html.

MLA Handbook (7th Edition):

Heinemann, Alexander M. “Bootstrap inference for conditional risk measures.” 2019. Web. 19 Oct 2019.

Vancouver:

Heinemann AM. Bootstrap inference for conditional risk measures. [Internet] [Doctoral dissertation]. ProefschriftMaken Maastricht; 2019. [cited 2019 Oct 19]. Available from: https://cris.maastrichtuniversity.nl/portal/en/publications/bootstrap-inference-for-conditional-risk-measures(9f27564a-d5be-4e68-a11f-47900265dd29).html ; urn:nbn:nl:ui:27-9f27564a-d5be-4e68-a11f-47900265dd29 ; 9f27564a-d5be-4e68-a11f-47900265dd29 ; 10.26481/dis.20190620ah ; urn:isbn:9789463803724 ; urn:nbn:nl:ui:27-9f27564a-d5be-4e68-a11f-47900265dd29 ; https://cris.maastrichtuniversity.nl/portal/en/publications/bootstrap-inference-for-conditional-risk-measures(9f27564a-d5be-4e68-a11f-47900265dd29).html.

Council of Science Editors:

Heinemann AM. Bootstrap inference for conditional risk measures. [Doctoral Dissertation]. ProefschriftMaken Maastricht; 2019. Available from: https://cris.maastrichtuniversity.nl/portal/en/publications/bootstrap-inference-for-conditional-risk-measures(9f27564a-d5be-4e68-a11f-47900265dd29).html ; urn:nbn:nl:ui:27-9f27564a-d5be-4e68-a11f-47900265dd29 ; 9f27564a-d5be-4e68-a11f-47900265dd29 ; 10.26481/dis.20190620ah ; urn:isbn:9789463803724 ; urn:nbn:nl:ui:27-9f27564a-d5be-4e68-a11f-47900265dd29 ; https://cris.maastrichtuniversity.nl/portal/en/publications/bootstrap-inference-for-conditional-risk-measures(9f27564a-d5be-4e68-a11f-47900265dd29).html

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