A comparison of Value at Risk and Expected Shortfall estimation models in the time before the COVID-19 pandemic
This dissertation aims to examine the performance of different risk measures with three international indices: S&P 500, FTSE250 and HSI. The study compared four distribution candidates used in modelling the Value at Risk (VaR) and expected shortfall (ES) estimates with 95% significant level aimi...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2020
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| Online Access: | https://eprints.nottingham.ac.uk/61828/ |