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