Browsing Theses by Subject "CVaR"
Now showing items 1-3 of 3
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Asymptotic Distribution of the Optimal Value in Random Linear Programs: Application to Maximum Expected Shortfall
(University of Waterloo, 2020-10-08)The properties of risk measures are of fundamental concern in quantitative finance, particularly in times of uncertainty. We study the behaviour of the asymptotic distribution of the maximum expected shortfall of a portfolio ... -
Computational Methods in Finance Related to Distributions with Known Marginals
(University of Waterloo, 2017-05-30)Model uncertainty and the dependence structures of various risk factors are important components of measuring and managing financial risk, such as market, credit and operational risks. In this thesis we provide a systematic ... -
Multivariate Risk Measures for Portfolio Risk Management
(University of Waterloo, 2021-01-29)In portfolio risk management, the main foci are to control the aggregate risk of the entire portfolio and to understand the contribution of each individual risk unit in the portfolio to the aggregate risk. When univariate ...