Value at Risk for a high-dimensional equity portfolio : A comparative study investigating computational complexity and accuracy for different methods
Risk management is practiced in many financial institutions and one of the most commonly used risk measures is Value at Risk. This measure represents how much a portfolio of assets could lose over a pre-specified time horizon to a cer- tain probability. Value at Risk is often utilized to calculate c...
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| Format: | Others |
| Language: | English |
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Umeå universitet, Institutionen för matematik och matematisk statistik
2018
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-148907 |