Browsing Mathematics (Faculty of) by Subject "VaR"

Now showing items 1-3 of 3

Bounds on Aggregate Assets

Jiang, Xiao (University of Waterloo, 2014-01-23)

Aggregating financial assets together to form a portfolio, commonly referred to as "asset pooling", is a standard practice in the banking and insurance industries. Determining a suitable probability distribution for this ...
Computational Methods in Finance Related to Distributions with Known Marginals

Memartoluie, Amir (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

Jia, Huameng (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 ...