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Collections :	Ιδρυματικό Αποθετήριο ΟΠΑ / AUEB Institutional Repository Σχολή Επιστημών και Τεχνολογίας της Πληροφορίας / School of Informatics Τμήμα Στατιστικής / Department of Statistics Μεταπτυχιακές Εργασίες / Postgraduate dissertations

Title :	Value at risk : coherent properties within the class of elliptical distributions and estimation procedures

Alternative Title :	Αξία σε κίνδυνο: ιδοότητες συνέπειας μέσα από τιςελλειπτικές κατανομές και διαδικασίες εκτίμησης

Creator :	Bourmpaki, Elli

Contributor :	Γιαννακόπουλος, Αθανάσιος (Επιβλέπων καθηγητής)

Publisher :	Οικονομικό Πανεπιστήμιο Αθηνών

Type :	Text

Extent :	x, 67σ.

Language :	el

Bibliographic Citation :	Βιβλιογραφία : σ. 67

Abstract :	In this thesis, we shall focus on elliptical distributions and the connections to riskmeasurement. We shall present the connection between ellipt ical and sphericaldistributions and provide algorithms for data simulations from this class ofdistributions. We will further present the axiomatic framework for coherent riskmeasures and prove why Value at Risk is not a coherent risk measure. We shall est imateand compute Value at Risk via quant ile, historical simulations methodology andparametric methodology. Finally, we shall compare historical and parametricsimulations of VaR for a portfolio contained of three assets.

Abstract :

In this thesis, we shall focus on elliptical distributions and the connections to riskmeasurement. We shall present the connection between ellipt ical and sphericaldistributions and provide algorithms for data simulations from this class ofdistributions. We will further present the axiomatic framework for coherent riskmeasures and prove why Value at Risk is not a coherent risk measure. We shall est imateand compute Value at Risk via quant ile, historical simulations methodology andparametric methodology. Finally, we shall compare historical and parametricsimulations of VaR for a portfolio contained of three assets.

Subject :	Statistics Statistical mathematics Στατιστική Στατιστικά μαθηματικά

Date :	2014

File: ELLI BOURMPAKI.pdf

Type: application/pdf

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