Estimation of value-at-risk and expected shortfall using copulas

Master Thesis

2008

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http://hdl.handle.net/11427/4362
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thesis_sci_2008_sumbhoolaul_h_opd (1).pdf (4.83 MB)
Authors
Sumbhoolaul, Helina
Supervisors
Haines, Linda
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Publisher

University of Cape Town

Department
Department of Statistical Sciences
Faculty
Faculty of Science
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Abstract
Includes bibliographical references (leaves 76-77).
Description
Keywords
Statistical Sciences

Reference:

Sumbhoolaul, H. 2008. Estimation of value-at-risk and expected shortfall using copulas. University of Cape Town.

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Masters