Assessing the Performance of Value-at-Risk Models in London Stock Market
In this paper, parametric, nonparametric, and semi parametric models are applied to a hypothetical portfolio consisting a single asset - FTSE 100 Index, to assess their performance in the London stock market. In order to assess the performance of different approaches, the statistic features such as...
| Main Author: | |
|---|---|
| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2009
|
| Online Access: | https://eprints.nottingham.ac.uk/23213/ |