dc.rights.license | CC-BY-NC-ND | |
dc.contributor.advisor | Fernandez, R. | |
dc.contributor.advisor | Dajani, K. | |
dc.contributor.author | Rijn, M.F. van | |
dc.date.accessioned | 2015-02-13T18:00:49Z | |
dc.date.available | 2015-02-13T18:00:49Z | |
dc.date.issued | 2015 | |
dc.identifier.uri | https://studenttheses.uu.nl/handle/20.500.12932/19381 | |
dc.description.abstract | Risk 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.sponsorship | Utrecht University | |
dc.format.extent | 483582 | |
dc.format.mimetype | application/pdf | |
dc.language.iso | en | |
dc.title | Mathematics of Risk Measures. And the measures of the Basel Committee. | |
dc.type.content | Master Thesis | |
dc.rights.accessrights | Open Access | |
dc.subject.keywords | Value-at-Risk, Stressed Value-at-Risk, Expected Shortfall, Expectiles, Risk Measures, Coherent, Elicitable | |
dc.subject.courseuu | Mathematical Sciences | |