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Risk and Return

C/F/1006. Dissertation. Value at Risk and Expected Shortfall: comparison of methods

WORDS:
16600
DATE:
2011
PRICE:
169.99 GBP

This dissertation looks at the terms of value at risk and conditional value at risk, aiming to assess the ways that estimation methods affect them looking at the London Stock Exchange. The objectives are to discuss the strengths and weaknesses (advantages and disadvantages) of different methods of calculating VaR and CVaR, to apply the discussed methods to a given portfolio that consists of five large cap stocks, and to provide recommendations on the methods and models that financial organisations should use in risk management. The review of literature focuses on topics like historical simulation, normal approximation, Monte Carlo simulation, and variance. The methodology uses a wide variety of methods like historical simulation, normal approximation, and Cornish fisher expansion. This is followed by an in depth analysis of the topics discussed, and conclusions are made regarding the initial objectives.

 

KEYWORDS: Dissertation, value at risk, VaR, conditional value at risk, CVaR, London stock exchange, risk management, historical simulation, normal approximation, Monte Carlo simulation, Cornish fisher expansion,

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