Value-at-Risk for Financial Derivative Instruments

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Value-at-Risk for Financial Derivative Instruments

With the continuous development of the financial industry, financial risk management is increasingly important, the use of scientific methods to do the risk measure also gradually become a hot field. In this paper, quantitative risk analysis method which is widely recognized by the financial industr...

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Bibliographic Details
Main Author:	Lv, Mingyue
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2011
Subjects:	Value-at-Risk (VaR) Historical simulation method Quadratic simulation Monte Carlo simulation method nonlinear portfolio Back-testing
Online Access:	https://eprints.nottingham.ac.uk/24832/

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