Risks in Commodity and Currency Markets

Risks in Commodity and Currency Markets

This thesis analyzes market risk factors in commodity and currency markets. It focuses on the impact of extreme events on the prices of financial products traded in these markets, and on the overall market risk faced by the investors. The first chapter develops a simple two-factor jump-diffusion mod...

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Bibliographic Details
Main Author: Bozovic, Milos
Other Authors: Urosevic, Branko
Format: Doctoral Thesis
Language:English
Published: Universitat Pompeu Fabra 2009
Subjects:
pérdida esperada
Value at Risk
Análisis de Componentes Principales
Teoria de Valores Extremos multivariada
sonrisas de volatilidad
método de momentos eficiente
tipos de cambio
opciones sobre materias primas
futuros
materias primas
riesgo de saltos
backtesting
expected shortfall
Principal Component Analysis
multivariate Extreme Value Theory
volatility smiles
efficient method of moments
exchange rates
options on commodity futures
futures
jump risk
commodities
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Online Access:http://hdl.handle.net/10803/7388
http://nbn-resolving.de/urn:isbn:9788469241318

Internet

http://hdl.handle.net/10803/7388
http://nbn-resolving.de/urn:isbn:9788469241318

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