Comparison of estimation for conditional Value at Risk
| dc.contributor.advisor | Ανθρωπέλος, Μιχαήλ | |
| dc.contributor.author | Γεωργαντζά, Γεωργία | |
| dc.contributor.author | Georgantza, Georgia | |
| dc.date.accessioned | 2018-03-19T15:21:56Z | |
| dc.date.available | 2018-03-19T15:21:56Z | |
| dc.date.issued | 2018 | |
| dc.identifier.uri | https://dione.lib.unipi.gr/xmlui/handle/unipi/11097 | |
| dc.format.extent | 87 | el |
| dc.language.iso | en | el |
| dc.publisher | Πανεπιστήμιο Πειραιώς | el |
| dc.rights | Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές | * |
| dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/ | * |
| dc.title | Comparison of estimation for conditional Value at Risk | el |
| dc.type | Master Thesis | el |
| dc.contributor.department | Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Χρηματοοικονομικής και Τραπεζικής Διοικητικής | el |
| dc.description.abstractEN | Value at Risk (V@R) is one of the most popular risk assessment tools in the world of investment and risk management. Conditional value at risk (CV@R) or Expected Shortfall (ES) is a technique often used to reduce the probability that a portfolio will incur large losses and is performed by assessing the likelihood (at a specific confidence level) that a specific loss will exceed the V@R. This thesis studies the ES notion and compares its estimation methods. The goal of the thesis is to analyze the techniques of V@R and ES estimations and apply the techniques of 1) Historical and 2) Monte Carlo simulation method. The empirical study concerns the assessment of alternatives ES methods in a real mixed portfolio and the comparison of their results. We used a portfolio with historical data and estimated the one-day 99% V@R, one-day 95% V@R such as one-day 99% ES and one-day 95% ES in order to compare their results. Using different ways of estimation for two portfolios, we came to a conclusion in which, Historical Simulation is this simulation in which we have the underestimation of V@R and ES contrary to Monte Carlo Simulation. | el |
| dc.contributor.master | Χρηματοοικονομική και Τραπεζική με κατεύθυνση στην Χρηματοοικονομική και Τραπεζική Διοικητική | el |
| dc.subject.keyword | Value at Risk | el |
| dc.subject.keyword | Conditional Value at Risk | el |
| dc.subject.keyword | Expected shortfall | el |
| dc.subject.keyword | Historical simulation | el |
| dc.subject.keyword | Monte Carlo simulation | el |
| dc.date.defense | 2018-02-16 |
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Τμήμα Χρηματοοικονομικής και Τραπεζικής Διοικητικής
Department of Banking & Financial Management
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Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές