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Market and Credit Risk Models and Management Report

Palavra-chave:

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

O Criador:

Qu, Jing

Advisor:

Blais, Marcel Y.

Editor:

Worcester Polytechnic Institute

Data Criada:

2012-05-02

Resource Type:

Report

Degree:

MS

Unit (Department):

Mathematical Sciences