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- 2021
-
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)
- 2020
-
Mark
Estimating Expected Shortfall Using Parametric and Non-Parametric Approaches
(
- Master (One yr)
-
Mark
Evaluating VaR and ES for commodities - both conventionally and with neural networks
(
- Master (One yr)
-
Mark
Backtesting Expected Shortfall A comparative empirical evaluation of different backtests
(
- Master (One yr)
-
Mark
An Empirical Study: Expected Shortfall Estimation Methods for a Bank's Trading Book
(
- Master (One yr)
-
Mark
Comparing the Liquidity-Adjusted Expected Shortfall Models Over High and Low Liquid Stocks Portfolios: Empirical Results on Thailand Stock Market
(
- Master (One yr)
-
Mark
A comparative study of VaR and ES using extreme value theory
(
- Bach. Degree
- 2019
-
Mark
Expected Shortfall Estimation
(
- Master (One yr)
-
Mark
Predicting Exchange Rate Value-at-Risk and Expected Shortfall: A Neural Network Approach
(
- Master (One yr)
- 2017
-
Mark
Are GARCH models necessary for Expected Shortfall?
(
- Bach. Degree