Master's Thesis from the year 2012 in the subject Business economics - Miscellaneous, grade: 1, Fachhochschule des bfi Wien GmbH, course: Riskmanagement, language: English, abstract: This thesis analyses three VaR models in detail. To begin with, there is a short description of the theoretical background of the models. Next, four different backtests are performed on two different portfolios for each of the three models. The source code used for the implementation is available in the appendix. The main part will deal with the interpretation of the backtesting results. Each model will be compared with the same backtests and dimensionality, which allows the comparison of models with each other. The main outcome of this backtest is the knowledge as to how a model should be calibrated and how robust a model is. In a validation procedure, the author selects that calibration which yields the best results for each model.
A comparison between advanced Value at Risk models and their backtesting in different portfolios
RRP:
$120.00
Description
Master's Thesis from the year 2012 in the subject Business economics - Miscellaneous, grade: 1, Fachhochschule des bfi Wien GmbH, course: Riskmanagement, language: English, abstract: This thesis analyses three VaR models in detail. To begin with, there is a short description of the theoretical background of the models. Next, four different backtests are performed on two different portfolios for each of the three models. The source code used for the implementation is available in the appendix. The main part will deal with the interpretation of the backtesting results. Each model will be compared with the same backtests and dimensionality, which allows the comparison of models with each other. The main outcome of this backtest is the knowledge as to how a model should be calibrated and how robust a model is. In a validation procedure, the author selects that calibration which yields the best results for each model.
This groundbreaking book extends traditional approaches of risk measurement and portfolio optimization by combining distributional models with risk or performance measures into one framework...
Stochastic order relations prprovide a valuable insight into the behaviour of complex stochastic (random) systems and enable the user to collect meaningful comparative data. Application areas include...
Financial Risk Measurement is a challenging task, because both the types of risk and the techniques evolve very quickly. This book collects a number of novel contributions to the measurement of...
This is a reproduction of a book published before 1923. This book may have occasional imperfections such as missing or blurred pages, poor pictures,...
Discover your next great read at BookLoop, Australiand online bookstore offering a vast selection of titles across various genres and interests. Whether you're curious about what's trending or searching for graphic novels that captivate, thrilling crime and mystery fiction, or exhilarating action and adventure stories, our curated collections have something for every reader. Delve into imaginative fantasy worlds or explore the realms of science fiction that challenge the boundaries of reality. Fans of contemporary narratives will find compelling stories in our contemporary fiction section. Embark on epic journeys with our fantasy and science fiction titles,
Shop Trending Books and New Releases
Explore our new releases for the most recent additions in romance books, fantasy books, graphic novels, crime and mystery books, science fiction books as well as biographies, cookbooks, self help books, tarot cards, fortunetelling and much more. With titles covering current trends, booktok and bookstagram recommendations, and emerging authors, BookLoop remains your go-to local australian bookstore for buying books online across all book genres.
Shop Best Books By Collection
Stay updated with the literary world by browsing our trending books, featuring the latest bestsellers and critically acclaimed works. Explore titles from popular brands like Minecraft, Pokemon, Star Wars, Bluey, Lonely Planet, ABIA award winners, Peppa Pig, and our specialised collection of ADHD books. At BookLoop, we are committed to providing a diverse and enriching reading experience for all.
Sign In
your cart
Your cart is empty
Menu
Search
PRE-SALES
If you have any questions before making a purchase chat with our online operators to get more information.
