Kerkeni, Mr Ilyes (2022) Estimating dynamic systemic risk measures PRE - Research Project, ENSTA.

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Abstract

We will explore existing methods to estimate VaR and its derivative CVaR in this research project. We begin with the historical approach. After that, we will study the parametric approach and end with the semi-parametric approach. We will investigate some traditional time series to model the financial market and demonstrate their limitations before studying GARCH models mathematically and numerically and applying them to calculate our risk metrics.

Item Type:Thesis (PRE - Research Project)
Uncontrolled Keywords:Value-at-Risk VaR, CoVaR, Bootstraping, GARCH models
Subjects:Mathematics and Applications
ID Code:9139
Deposited By:Mohamed ilyes KERKENI
Deposited On:06 oct. 2023 16:24
Dernière modification:06 oct. 2023 16:24

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