Identifier

etd-050212-141043

Abstract

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.

Publisher

Worcester Polytechnic Institute

Degree Name

MS

Department

Mathematical Sciences

Project Type

Thesis

Date Accepted

2012-05-02

Accessibility

Unrestricted

Subjects

Value at Risk, Expected Shortfall, Loss Distribution

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