A comparison of Value at Risk and Expected Shortfall estimation models in the time before
the COVID-19 pandemic

QR Code

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...

Full description

Bibliographic Details
Main Author:	Taweesoontorn, Natcha
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2020
Online Access:	https://eprints.nottingham.ac.uk/61828/

Similar Items

Dependent bootstrapping for value-at-risk and expected shortfall
by: Laker, I., et al.
Published: (2017)

A cross-country comparison of Expected Shortfall estimation models
by: Du, Cong
Published: (2017)

The risk analysis of major cryptocurrencies: Value-at-risk and Expected shortfall approaches
by: Fang, Jun
Published: (2022)

The risk analysis of major cryptocurrencies: Value-at-risk and Expected shortfall approaches
by: Fang, Jun
Published: (2022)

The risk analysis of major cryptocurrencies: Value-at-risk and Expected shortfall approaches
by: Fang, Jun
Published: (2022)

The risk analysis of major cryptocurrencies: Value-at-risk and Expected shortfall approaches
by: Fang, Jun
Published: (2022)

ARIMA-GARCH model for estimation of value-at-risk and expected shortfall of some stocks in Indonesian capital market

An empirical analysis of Value at Risk and Expected Shortfall in CDS and Equity markets
by: Chen, Hsiao-Ling
Published: (2016)

Noise Level Assessment In Engineering Campus Of Universiti Sains Malaysia A Comparison Before And During Covid-19 Pandemic
by: Mokti, Nur Syazliana Abd
Published: (2021)

Prediction On Drug Abused Before Quarantine Of The Pandemic Covid-19 In Malaysia (2000-2019)
by: Mohamad Iqbal, Abdullah
Published: (2023)

Determinants of unemployment among fresh graduates in Malaysia before and during Covid-19 pandemic
by: Heng, Han Quan, et al.
Published: (2023)

COVID-19 pandemic – an apocalypse of our time
by: Mustafa Mahmoud, Mohammed Imad Al-Deen, et al.
Published: (2020)

Work Stress among Vietnamese Marketing Agency Employees Before and During the COVID-19 Pandemic
by: Nguyen, Linh P.
Published: (2020)

Consumers’ willingness to pay for basic goods and services before and during pandemic Covid-19 in Malaysia
by: Md Jusoh, Zuroni, et al.
Published: (2021)

Expert: although Covid-19 cases rise, new wave of pandemic expected not severe
by: China Press
Published: (2022)

COVID-19 : providing rehabilitation care in the time of pandemic
by: Abu Hassan, Salmah Anim
Published: (2020)

Preterm births in South-West England before and during the COVID-19 pandemic: an audit of retrospective data
by: Maslin, K., et al.
Published: (2022)

The geoscience education shortfall in Australia
by: Collins, William
Published: (2012)

Analysis of Malaysian mortality rates by specific ethnics, age groups and gender before and during Covid-19 pandemic
by: Nurainina Zakiah Hamzah,, et al.
Published: (2023)

Estimating the population of youth drug users during the COVID-19 pandemic
by: Abdul Ghani, Mohamad Salleh, et al.
Published: (2023)

Risk management in Chinese banks during the pandemic of Covid-19
by: Yang, Fengmian
Published: (2022)

Factors affecting profitability of Islamic and conventional banking in Malaysia before and during Covid-19 pandemic: a comparative study
by: Cheong, Kar Ley, et al.
Published: (2022)

Critical shortfalls in vape liquid traceability
by: Look, Keyun, et al.
Published: (2023)

Buzzing before the Storms: infodemic pattern of COVID-19 in Indonesia
by: Arina Rubyasih,, et al.
Published: (2023)

The mental health of fly-in fly-out workers before and during COVID-19: a comparison study
by: Gilbert, Jessica, et al.
Published: (2023)

Medical education during Covid-19 pandemic - it is time to embrace the new norm
by: Omar, Ahmad Marzuki, et al.
Published: (2020)

Evaluating the impacts of the covid-19 pandemic on risk perception in the hospitality industry in Malaysia
by: Wong, Jun Hou
Published: (2024)

Travel risk in the ecotourism industry amid Covid-19 pandemic: ecotourists' perceptions
by: Samdin, Zaiton, et al.
Published: (2021)

Travel risk in the ecotourism industry amid COVID-19 pandemic: ecotourists perceptions
by: Samdin, Zaiton, et al.
Published: (2022)

Trading behaviour of Malaysia investor during covid-19 pandemic: speculation or value investment
by: Lim, Vee Kyi, et al.
Published: (2022)

Growth or value investing? The performance of Japan’s stock market during Covid-19 pandemic
by: Er, Chun Yong, et al.
Published: (2022)

A study on usage status of electronic payment system (EPS): before, during and after COVID 19 pandemic lockdown period in India
by: Rengasamy, Dhanuskodi
Published: (2020)

Perceived risk, fear of Covid-19, and resilience on mental health among Malaysian emerging adults during the Covid-19 pandemic
by: Liew, Erika Wye Keet, et al.
Published: (2021)

Effect of COVID-19 Pandemic on Traditional Teaching
by: Ghosh, Mitali, et al.
Published: (2022)

The challenges of volunteering during the COVID-19 pandemic
by: Luksyte, A., et al.
Published: (2021)

Asean’s function in handling the Covid-19 pandemic
by: Saptopo Bambang Ilkodar,
Published: (2024)

The COVID-19 pandemic and positive reflections on Ramadhan
by: Mohd Zaini, Ahmad Faidhi, et al.
Published: (2021)

Sustainability in reference and response to COVID-19 pandemic
by: Maulan, Suhardi
Published: (2020)

Covid-19 Pandemic Poems Volume III
by: Silvest, R.S. Regin, et al.
Published: (2020)

Consumer behavior during the pandemic Covid 19
by: Chu, Yi Ching, et al.
Published: (2022)