Assessing the Performance of Value-at-Risk Models in London Stock Market

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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...

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Bibliographic Details
Main Author:	PHAN, Ha
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2009
Online Access:	https://eprints.nottingham.ac.uk/23213/

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