A comparison between advanced Value at Risk models and their backtesting in different portfolios
Christian Steinlechner
Broschiertes Buch

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

Versandkostenfrei!
Versandfertig in 1-2 Wochen
47,95 €
inkl. MwSt.
PAYBACK Punkte
0 °P sammeln!
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 compare...