Show simple item record

dc.rights.licenseCC-BY-NC-ND
dc.contributor.advisorFernandez, R.
dc.contributor.advisorDajani, K.
dc.contributor.authorRijn, M.F. van
dc.date.accessioned2015-02-13T18:00:49Z
dc.date.available2015-02-13T18:00:49Z
dc.date.issued2015
dc.identifier.urihttps://studenttheses.uu.nl/handle/20.500.12932/19381
dc.description.abstractRisk measurement within financial institutions remains of the utmost importance in practice. In the last few years it has become evident that a mathematical model should consider two steps of the risk measurement procedure; the estimation of the loss distribution and the construction of a risk measure that summarizes the risk of a position. In 1997 Artzner et all. gave rise to a whole new theory concerning risk measures with their axiomatic approach to coherent risk measures. In my thesis I extend this axiomatic approach to include not only mathematical properties of risk measures but also their statical properties. I will treat two important classes of risk measures and argue that a risk measure should belong to both these classes in order to deal with all aspects of the risk measurement procedure. I will discuss Value-at-Risk, Expected Shortfall en Expectile Value-at-Risk and compare these to the risk measures introduced by the Basel Committee.
dc.description.sponsorshipUtrecht University
dc.format.extent483582
dc.format.mimetypeapplication/pdf
dc.language.isoen
dc.titleMathematics of Risk Measures. And the measures of the Basel Committee.
dc.type.contentMaster Thesis
dc.rights.accessrightsOpen Access
dc.subject.keywordsValue-at-Risk, Stressed Value-at-Risk, Expected Shortfall, Expectiles, Risk Measures, Coherent, Elicitable
dc.subject.courseuuMathematical Sciences


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record