Risk Measures and Capital Allocation
| 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.degree.discipline | Statistics | en_US |
| dc.degree.level | dissertation | en_US |
| dc.degree.name | PhD | en_US |
| 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.identifier.other | etd-12272009-155738 | en_US |
| dc.identifier.uri | http://www.lib.ncsu.edu/resolver/1840.16/3005 | |
| 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 |
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