Return to search

Statistical modelling of operational risk.

Yeung Yu Ming. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2006. / Includes bibliographical references (leaves 35-38). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Risk Measures --- p.3 / Chapter 2.1 --- Extreme Value Thoery --- p.4 / Chapter 2.2 --- Estimating Excess Distributions --- p.7 / Chapter 2.3 --- Estimating Tails of Distributions --- p.9 / Chapter 2.4 --- VaR and ES --- p.10 / Chapter 3 --- Fitting VaR Time Series --- p.13 / Chapter 3.1 --- Autoregressive Integrated Moving Average Models --- p.13 / Chapter 3.2 --- Regression Quantiles --- p.14 / Chapter 4 --- Analysis of Hang Seng Index --- p.16 / Chapter 4.1 --- Risk Measures --- p.20 / Chapter 4.2 --- Backtesting --- p.21 / Chapter 4.3 --- Expected Shortfall --- p.25 / Chapter 4.4 --- Forecasting VaR and ES --- p.26 / Chapter 4.4.1 --- Regression Quantiles --- p.27 / Chapter 4.4.2 --- ARIMA Models --- p.28 / Chapter 5 --- Conclusion --- p.33 / References --- p.35

Identiferoai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_325524
Date January 2006
ContributorsYeung, Yu Ming., Chinese University of Hong Kong Graduate School. Division of Risk Management Science.
Source SetsThe Chinese University of Hong Kong
LanguageEnglish, Chinese
Detected LanguageEnglish
TypeText, bibliography
Formatprint, viii, 38 leaves : ill. ; 30 cm.
RightsUse of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/)

Page generated in 0.0106 seconds