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Value-at-risk
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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
HISTORICAL RISK ASSESSMENT OF A BALANCED PORTFOLIO USING VALUE-AT-RISK
Keyword:
Monte Carlo Simulations
,
Value-at-risk
, and
Portfolio Risk
Creator:
Malfas, Gregory P.
Advisor:
Vermes, Domokos
Publisher:
Worcester Polytechnic Institute
Date Created:
2004-04-30
Resource Type:
Thesis
Degree:
MS
Unit (Department):
Mathematical Sciences
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Masters Reports
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2012
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Creator
Malfas, Gregory P.
1
Shen, Chen
1
Yan, Lu
1
Advisor
Blais, Marcel Y.
2
Vermes, Domokos
1
Contributor
Blais, Marcel Y.
2
Vermes, Domokos
1
Unit (Department)
Mathematical Sciences
3
Publisher
Worcester Polytechnic Institute
3
Resource type
Report
2
Thesis
1