Value at risk and the distortion operator
VaR is a popular measure for benchmarking market risk based on price or return fluctuations of instruments among institutions. Calculation of VaR depends very much on the model explaining the price changes and volatility of the underlying assets. However, theoretical models can be very unrealistic i...
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2001
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| Online Access: | http://spectrum.library.concordia.ca/1313/1/MQ59273.pdf Cheuk, Wai Lun <http://spectrum.library.concordia.ca/view/creators/Cheuk=3AWai_Lun=3A=3A.html> (2001) Value at risk and the distortion operator. Masters thesis, Concordia University. |