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| dc.contributor.advisor | Raggi, Davide | it_IT |
| dc.contributor.author | Ferretti, Nicola <1998> | it_IT |
| dc.date.accessioned | 2022-06-26 | it_IT |
| dc.date.accessioned | 2022-10-11T08:26:40Z | |
| dc.date.available | 2022-10-11T08:26:40Z | |
| dc.date.issued | 2022-07-11 | it_IT |
| dc.identifier.uri | http://hdl.handle.net/10579/21806 | |
| dc.description.abstract | This paper provides an overview of the role of extreme value theory in risk management as a method for modelling and measuring extreme risks. In particular, it is shown the peaks-over-threshold (POT) model and how this method provides a tool for estimating measures of tail risk like Value-at-Risk (VaR) and expected shortfall. Further topics of interest, including State-Space model, Block Maxima, Markowitz model and a real data application, are also discussed. | it_IT |
| dc.language.iso | en | it_IT |
| dc.publisher | Università Ca' Foscari Venezia | it_IT |
| dc.rights | © Nicola Ferretti, 2022 | it_IT |
| dc.title | Extreme Value Theory for Portfolio Risk Management | it_IT |
| dc.title.alternative | Extreme Value Theory for Portfolio Risk Management | it_IT |
| dc.type | Master's Degree Thesis | it_IT |
| dc.degree.name | Economia e finanza | it_IT |
| dc.degree.level | Laurea magistrale | it_IT |
| dc.degree.grantor | Dipartimento di Economia | it_IT |
| dc.description.academicyear | 2021/2022_sessione estiva_110722 | it_IT |
| dc.rights.accessrights | openAccess | it_IT |
| dc.thesis.matricno | 887605 | it_IT |
| dc.subject.miur | SECS-P/05 ECONOMETRIA | it_IT |
| dc.description.note | This paper provides an overview of the role of extreme value theory in risk management as a method for modelling and measuring extreme risks. In particular, it is discussed POT, Block Maxima, Risk Measures (VaR and ES), State Space model, Markowitz model and a real data application. | it_IT |
| dc.degree.discipline | it_IT | |
| dc.contributor.co-advisor | it_IT | |
| dc.date.embargoend | it_IT | |
| dc.provenance.upload | Nicola Ferretti (887605@stud.unive.it), 2022-06-26 | it_IT |
| dc.provenance.plagiarycheck | Davide Raggi (davide.raggi@unive.it), 2022-07-11 | it_IT |
