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Filtering by: Contributor Blais, Marcel Y. Remove constraint Contributor: Blais, Marcel Y. Year 2012 Remove constraint Year: 2012

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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
Risk Management Project

Keyword:

BIC, Expected Shortfall, AIC, Portfolio Optimization, Chi-square test, ARMA-GARCH, Value-at-risk, and Risk Management

Creator:

Yan, Lu

Advisor:

Blais, Marcel Y.

Publisher:

Worcester Polytechnic Institute

Date Created:

2012-05-02

Resource Type:

Report

Degree:

MS

Unit (Department):

Mathematical Sciences
Risk Management Project

Keyword:

Value-at-risk, BIC, ARMA-GARCH, Portfolio Optimization, Chi-square test, AIC, Risk Management, and Expected Shortfall

Creator:

Shen, Chen

Advisor:

Blais, Marcel Y.

Publisher:

Worcester Polytechnic Institute

Date Created:

2012-05-02

Resource Type:

Report

Degree:

MS

Unit (Department):

Mathematical Sciences
Investment Analysis: Evaluating the Loss and Risk of a Stocks and Options Portfolio

Keyword:

Expected Shortfall, Loss Distribution, and Value at Risk

Creator:

Shah, Azuri

Advisor:

Blais, Marcel Y.

Publisher:

Worcester Polytechnic Institute

Date Created:

2012-05-02

Resource Type:

Report

Degree:

MS

Unit (Department):

Mathematical Sciences
Investment Analysis: Evaluating the Loss and Risk of a Stocks and Options Portfolio

Keyword:

Value at Risk, Expected Shortfall, and Loss Distribution

Creator:

Infantino, Shanna

Advisor:

Blais, Marcel Y.

Publisher:

Worcester Polytechnic Institute

Date Created:

2012-05-02

Resource Type:

Report

Degree:

MS

Unit (Department):

Mathematical Sciences
The Portfolio Optimization Project

Keyword:

Factor Model, CAPM, and optimal portfolio

Creator:

Zhuang, Ziyi

Advisor:

Blais, Marcel Y.

Publisher:

Worcester Polytechnic Institute

Date Created:

2012-04-25

Resource Type:

Report

Degree:

MS

Unit (Department):

Mathematical Sciences
The Portfolio Optimization Project

Keyword:

CAPM and optimal portfolio

Creator:

Gao, Panwen

Advisor:

Blais, Marcel Y.

Publisher:

Worcester Polytechnic Institute

Date Created:

2012-04-25

Resource Type:

Report

Degree:

MS

Unit (Department):

Mathematical Sciences
Portfolio Optimization, CAPM & Factor Modeling Project Report

Keyword:

Modern Portfolio Theory, Factor Model, French and Fama Model, and CAPM

Creator:

Xu, Chenghao

Advisor:

Blais, Marcel Y.

Publisher:

Worcester Polytechnic Institute

Date Created:

2012-04-23

Resource Type:

Report

Degree:

MS

Unit (Department):

Mathematical Sciences
Financial Mathematics Project

Keyword:

Modern Portfolio Theory, Fama French Model, and CAPM

Creator:

Dang, Zhe

Advisor:

Blais, Marcel Y.

Publisher:

Worcester Polytechnic Institute

Date Created:

2012-04-24

Resource Type:

Report

Degree:

MS

Unit (Department):

Mathematical Sciences
Financial Mathematics Project

Keyword:

Capital Asset Pricing Model, Modern Portfolio Theory, and multi-factor models

Creator:

Li, Jiang

Advisor:

Blais, Marcel Y.

Publisher:

Worcester Polytechnic Institute

Date Created:

2012-04-24

Resource Type:

Report

Degree:

MS

Unit (Department):

Mathematical Sciences

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Masters Reports14

Year

2012[remove]14

Creator

Dang, Zhe1
Dong, Yijun1
Gao, Panwen1
Infantino, Shanna1
Lan, Yi1
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Advisor

Blais, Marcel Y.14

Contributor

Blais, Marcel Y.[remove]14

Unit (Department)

Mathematical Sciences14

Publisher

Worcester Polytechnic Institute14

Resource type

Report14

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