Parametric Value at Risk models for hedge fund application
Recent events over the last year with regards to the US sub-prime crisis and the collapse of three major hedge funds, Bear Stearns, UBS's- Dillon Read Capital Management and Focus Capital, have highlighted that it is a common misconception within finance that extreme events have negligible prob...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
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2008
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| Online Access: | https://eprints.nottingham.ac.uk/22278/ |