A cross-country comparison of Expected Shortfall estimation models

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A cross-country comparison of Expected Shortfall estimation models

This dissertation aims to find a better-performed model in estimating risk measures for certain countries. The risk measures are estimated under five distributional assumptions (normal, Student-t, skewed Student-t, historical distribution, and generalized pareto) for five financial markets (Nasdaq,...

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Bibliographic Details
Main Author:	Du, Cong
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2017
Online Access:	https://eprints.nottingham.ac.uk/46082/

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