Computational Methods in Finance Related to Distributions with Known Marginals

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dc.contributor.authorMemartoluie, Amir
dc.date.accessioned2017-05-30T19:43:49Z
dc.date.available2017-05-30T19:43:49Z
dc.date.issued2017-05-30
dc.date.submitted2017-05-24
dc.description.abstractModel 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 investigation into these issues by studying their impacts on Credit Value Adjustment (CVA), Counterparty Credit Risk (CCR), and estimating Value-at-Risk for a portfolio of financial instruments. In particular we address the numerical issues of finding an unknown (worst-case) copula that ties marginal distributions of risk factors together given partial information about them.en
dc.identifier.urihttp://hdl.handle.net/10012/11974
dc.language.isoenen
dc.pendingfalse
dc.publisherUniversity of Waterlooen
dc.subjectCVAen
dc.subjectCVaRen
dc.subjectVaRen
dc.subjectKnown Marginalsen
dc.subjectCVA contributionsen
dc.subjectAdaptive Rearrangement Algorithmen
dc.subjectARAen
dc.subjectWorst-case copulaen
dc.subjectCCRen
dc.subjectCounterparty Credit Risken
dc.subjectLinear Programmingen
dc.subjectRisk Managementen
dc.subjectBaselen
dc.titleComputational Methods in Finance Related to Distributions with Known Marginalsen
dc.typeDoctoral Thesisen
uws-etd.degreeDoctor of Philosophyen
uws-etd.degree.departmentDavid R. Cheriton School of Computer Scienceen
uws-etd.degree.disciplineComputer Scienceen
uws-etd.degree.grantorUniversity of Waterlooen
uws.contributor.advisorWirjanto, Tony
uws.contributor.advisorSaunders, David
uws.contributor.affiliation1Faculty of Mathematicsen
uws.peerReviewStatusUnrevieweden
uws.published.cityWaterlooen
uws.published.countryCanadaen
uws.published.provinceOntarioen
uws.scholarLevelGraduateen
uws.typeOfResourceTexten

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