Market and Credit Risk Models and Management Report

Market and Credit Risk Models and Management Report

This report is for MA575: Market and Credit Risk Models and Management, given by Professor Marcel Blais. In this project, three different methods for estimating Value at Risk (VaR) and Expected Shortfall (ES) are used, examined, and compared to gain insightful information about the strength and weak...

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Bibliographic Details
Main Author: Qu, Jing
Other Authors: Bogdan M. Vernescu, Department Head
Format: Others
Published: Digital WPI 2012
Subjects:
Portfolio Optimization
Value at Risk
Expected Shortfall
ARMA-GARCH Model
Risk Reduction
Online Access:https://digitalcommons.wpi.edu/etd-theses/649
https://digitalcommons.wpi.edu/cgi/viewcontent.cgi?article=1648&context=etd-theses

Internet

https://digitalcommons.wpi.edu/etd-theses/649
https://digitalcommons.wpi.edu/cgi/viewcontent.cgi?article=1648&context=etd-theses

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