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| dc.contributor.advisor | Corazza, Marco | it_IT |
| dc.contributor.author | Groppo, Francesco <1988> | it_IT |
| dc.date.accessioned | 2013-06-09 | it_IT |
| dc.date.accessioned | 2013-12-03T10:57:25Z | |
| dc.date.available | 2013-12-03T10:57:25Z | |
| dc.date.issued | 2013-06-24 | it_IT |
| dc.identifier.uri | http://hdl.handle.net/10579/3383 | |
| dc.description.abstract | it_IT | |
| dc.language.iso | it | it_IT |
| dc.publisher | Università Ca' Foscari Venezia | it_IT |
| dc.rights | © Francesco Groppo, 2013 | it_IT |
| dc.title | Risk analysis and application in stable financial market | it_IT |
| dc.title.alternative | it_IT | |
| dc.type | Master's Degree Thesis | it_IT |
| dc.degree.name | Economia - economics | it_IT |
| dc.degree.level | Laurea magistrale | it_IT |
| dc.degree.grantor | Dipartimento di Economia | it_IT |
| dc.description.academicyear | 2012/2013, sessione estiva | it_IT |
| dc.rights.accessrights | openAccess | it_IT |
| dc.thesis.matricno | 815838 | it_IT |
| dc.subject.miur | SECS-S/03 STATISTICA ECONOMICA | it_IT |
| dc.description.note | Stable distributions have been used by a growing number of authors in past four decades since they provide the attractive possibility to extend the standard assumption of normal behavior for financial random variables. In this work it is explained why and how it is possible and it is convenient to adopt such generalization and the statistical identifications of the Stable univariate and multivariate distributions are given. The study will then be specifically focused on the financial returns loss distribution and on two risk assessment procedures. Tools like the VaR measures and the expected shortfall one are analized with respect to the different evaluation they produce about tail risky event. The Stable estimation is carried with different methodologies, so that great part of the analytical work is eventually devoted to the comparison between those different procedures of fit. | it_IT |
| dc.degree.discipline | it_IT | |
| dc.contributor.co-advisor | it_IT | |
| dc.date.embargoend | it_IT | |
| dc.provenance.upload | Francesco Groppo (815838@stud.unive.it), 2013-06-09 | it_IT |
| dc.provenance.plagiarycheck | Marco Corazza (corazza@unive.it), 2013-06-17 | it_IT |
