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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.
Subject :Statistics
Statistical mathematics
Στατιστικά μαθηματικά
Date :2014


Type: application/pdf