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A comparison between advanced Value at Risk models and their backtesting in different portfolios - Brossura

Steinlechner, Christian

 
9783656319009: A comparison between advanced Value at Risk models and their backtesting in different portfolios
Brossura
ISBN 10: 3656319006 ISBN 13: 9783656319009
Casa editrice: GRIN Verlag, 2012

Sinossi

Master's Thesis from the year 2012 in the subject Business economics - Miscellaneous, grade: 1, Fachhochschule des bfi Wien GmbH, course: Riskmanagement, language: English, abstract: This thesis analyses three VaR models in detail. To begin with, there is a short description of the theoretical background of the models. Next, four different backtests are performed on two different portfolios for each of the three models. The source code used for the implementation is available in the appendix. The main part will deal with the interpretation of the backtesting results. Each model will be compared with the same backtests and dimensionality, which allows the comparison of models with each other. The main outcome of this backtest is the knowledge as to how a model should be calibrated and how robust a model is. In a validation procedure, the author selects that calibration which yields the best results for each model.

Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.

Dalla quarta di copertina

Master's Thesis from the year 2012 in the subject Business economics - Miscellaneous, grade: 1, Fachhochschule des bfi Wien GmbH, course: Riskmanagement, language: English, abstract: This thesis analyses three VaR models in detail. To begin with, there is a short description of the theoretical background of the models. Next, four different backtests are performed on two different portfolios for each of the three models. The source code used for the implementation is available in the appendix. The main part will deal with the interpretation of the backtesting results. Each model will be compared with the same backtests and dimensionality, which allows the comparison of models with each other. The main outcome of this backtest is the knowledge as to how a model should be calibrated and how robust a model is. In a validation procedure, the author selects that calibration which yields the best results for each model.

Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.

Editore
GRIN Verlag
Data di pubblicazione
2012
Lingua
Inglese
ISBN 10 
3656319006
ISBN 13 
9783656319009
Rilegatura
Copertina flessibile
Numero edizione
2
Numero di pagine
92
Contatto del produttore
GRIN Publishing GmbH
info@grin.com

Waltherstraße 23
München
80337
Germania