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Market Risk in Turbulent Markets
In this thesis we study market risk in turbulent markets over different risk horizons. We construct portfolios which represent possible investments for a life assurance fund. The portfolios consist of equities, fixed income instruments, cash positions and interest rate derivatives. Today, the most commonly used metrics for market risk are Value-at-Risk (VaR) and Expected Shortfall (ES), and the…
Contributors
- Laading Jacob Førsteamanuensis II
- Norges teknisk-naturvitenskapelige universitet Fakultet for informasjonsteknologi, matematikk og elektroteknikk Institutt for matematiske fag
Creator
- Børter Martin , Norges teknisk-naturvitenskapelige universitet, Institutt for matematiske fag
Publisher
- Institutt for matematiske fag
Type of item
- Student thesis
- book
- Book
Date
- 2009
- 2010-09-04
- 2010-09-04
- 2009
Contributors
- Laading Jacob Førsteamanuensis II
- Norges teknisk-naturvitenskapelige universitet Fakultet for informasjonsteknologi, matematikk og elektroteknikk Institutt for matematiske fag
Creator
- Børter Martin , Norges teknisk-naturvitenskapelige universitet, Institutt for matematiske fag
Publisher
- Institutt for matematiske fag
Type of item
- Student thesis
- book
- Book
Date
- 2009
- 2010-09-04
- 2010-09-04
- 2009
Providing institution
Aggregator
Rights statement for the media in this item (unless otherwise specified)
- http://rightsstatements.org/vocab/InC/1.0/
- http://rightsstatements.org/vocab/InC/1.0/
Identifier
- oai:DiVA.org:ntnu-9871
Format
- electronic63
- electronic
- 63
Language
- en
- -1
Is part of
- http://data.theeuropeanlibrary.org/Collection/a1041
Year
- 2009
Providing country
- Sweden
Collection name
First time published on Europeana
- 2014-09-07T11:05:11.138Z
Last time updated from providing institution
- 2014-09-07T11:05:11.138Z