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- 2021
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Mark
Comparing Risk Parity Portfolios Does a Tail-Risk Parity strategy provide better downside protection than the Risk Parity strategy during economic crisis?
- Master (Two yrs)
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Mark
A study incorporating skewness in Expected Shortfall Estimation
- Master (One yr)
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Mark
Backtesting Expected Shortfall
- Master (One yr)
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Mark
VaR and ES through FX exposure at Trelleborg Group
- Bach. Degree
- 2020
-
Mark
A comparative study of VaR and ES using extreme value theory
- Bach. Degree
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Mark
An Empirical Study: Expected Shortfall Estimation Methods for a Bank's Trading Book
- Master (One yr)
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Mark
Comparing the Liquidity-Adjusted Expected Shortfall Models Over High and Low Liquid Stocks Portfolios: Empirical Results on Thailand Stock Market
- Master (One yr)
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Mark
Estimating Expected Shortfall Using Parametric and Non-Parametric Approaches
- Master (One yr)
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Mark
Evaluating VaR and ES for commodities - both conventionally and with neural networks
- Master (One yr)
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Mark
Backtesting Expected Shortfall A comparative empirical evaluation of different backtests
- Master (One yr)