With the ripples in the financial markets and economic stresses that occur around the world today, it would be beneficial to have some insight into the tools that help investors learn about the riskiness of their portfolios. At what value is one's portfolio in danger of being completely wiped out? We aim to further the understanding of values such as these and give an assessment of some risk measures by investing in an interactive portfolio, as well as estimating the values at risk and expected shortfalls of this portfolio.

Creator

• Shah, Azuri

Contributors

• Blais, Marcel Y.

Degree

• MS

Unit

• Mathematical Sciences

Publisher

• Worcester Polytechnic Institute

Language

• English

Identifier

• etd-050212-141043

Keyword

• Expected Shortfall
• Loss Distribution
• Value at Risk

Advisor

• Blais, Marcel Y.

Defense date

• 2012-04-26

Year

• 2012

Date created

• 2012-05-02

Resource type

• Report

Rights statement

• In Copyright

Last modified

• 2021-01-28