Portfolio Value at Risk: Concept, Implementation and Models Backtesting

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Portfolio Value at Risk: Concept, Implementation and Models Backtesting

This dissertation undertakes a comprehensive framework of the new risk management tool known as Value at risk, VaR. It introduces an in-depth study of the latest literature which is utilized in two different aspects. First, it studies the concept of VaR, origin, parameters, and compares it with othe...

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Bibliographic Details
Main Author:	Dalli, Ismail
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2011
Online Access:	https://eprints.nottingham.ac.uk/25052/

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