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Filtering by: Creator Qu, Jing

Market and Credit Risk Models and Management Report

Keyword:

Value at Risk, Portfolio Optimization, ARMA-GARCH Model, Expected Shortfall, and Risk Reduction

Creator:

Qu, Jing

Advisor:

Blais, Marcel Y.

Publisher:

Worcester Polytechnic Institute

Date Created:

2012-05-02

Resource Type:

Report

Degree:

MS

Unit (Department):

Mathematical Sciences