Multi-period market risk estimation and performance evaluation : evidence from univariate, multi-variate and options data
Thesis
Iqbal, R. (in press). Multi-period market risk estimation and performance evaluation : evidence from univariate, multi-variate and options data. (Thesis). University of Salford
There are different risk management approaches available, as different firms have different risk goals. Value at risk (VaR) is the most frequently used risk measure for asset or portfolio risk and certainly, per the Basel framework, is a preferred me... Read More about Multi-period market risk estimation and performance evaluation : evidence from univariate, multi-variate and options data.