Risk Measures and Capital Allocation

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dc.contributor.advisor Peter Bloomfield, Committee Chair en_US
dc.contributor.author Wang, Chun-Ju en_US
dc.date.accessioned 2010-04-02T18:25:43Z
dc.date.available 2010-04-02T18:25:43Z
dc.date.issued 2010-02-24 en_US
dc.identifier.other etd-12272009-155738 en_US
dc.identifier.uri http://www.lib.ncsu.edu/resolver/1840.16/3005
dc.description.abstract This research first gives a review of risk measures and risk capital allocation, along with the important property of coherency, and the relationships between different coherent risk measures. Secondly, relative accuracy measures are used as model-based criteria to study whether or not bias adjustment by various bootstrap techniques could improve estimates of the expected shortfall (ES) as a risk measure. Thirdly, different tests for backtesting Value-at-Risk (VaR) and ES are investigated as data-based criteria of evaluating risk models. Fourthly, multivariate framework is developed for estimating (conditional) ES and ES risk contributions (ESC), as a principle of capital allocation. Finally, an empirical study of estimating ES and ESC with backtesting is carried out for historical data from Russell Indices. en_US
dc.rights I hereby certify that, if appropriate, I have obtained and attached hereto a written permission statement from the owner(s) of each third party copyrighted matter to be included in my thesis, dis sertation, or project report, allowing distribution as specified below. I certify that the version I submitted is the same as that approved by my advisory committee. I hereby grant to NC State University or its agents the non-exclusive license to archive and make accessible, under the conditions specified below, my thesis, dissertation, or project report in whole or in part in all forms of media, now or hereafter known. I retain all other ownership rights to the copyright of the thesis, dissertation or project report. I also retain the right to use in future works (such as articles or books) all or part of this thesis, dissertation, or project report. en_US
dc.subject risk measures en_US
dc.subject capital allocation en_US
dc.subject conherency en_US
dc.subject VaR en_US
dc.subject expected shortfall en_US
dc.subject backtesting en_US
dc.title Risk Measures and Capital Allocation en_US
dc.degree.name PhD en_US
dc.degree.level dissertation en_US
dc.degree.discipline Statistics en_US


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