Hierarchical clustering of market risk models

This thesis aims to discern what factors and assumptions are the most important in market risk modeling through examining a broad range of models, for different risk measures (VaR0.01, S0:01 and ES0:025) and using hierarchical clustering to identify similarities and dissimilarities between the model...

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Bibliographic Details
Main Authors: Pucek, Ludvig, Sonebäck, Viktor
Format: Others
Language:English
Published: KTH, Matematisk statistik 2017
Subjects:
Online Access:http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-208307