Sökning: "Mattias Letmark"

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  1. 1. Robustness of Conditional Value-at-Risk (CVaR) for Measuring Market Risk

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Mattias Letmark; Markus Ringström; [2006]
    Nyckelord :CVaR; VaR; Robustness; Market risk; Backtesting;

    Sammanfattning : In this thesis the risk measure Conditional Value-at-Risk (CVaR) is studied in terms of robustness and whether it is an unbiased measure. The scope of the study is market risk. LÄS MER