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Value at risk and expected shortfall : traditional measures and extreme value theory enhancements with a South African market application

Thesis (MComm)--Stellenbosch University, 2013.

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Bibliographic Details
Main Author:	Dicks, Anelda
Other Authors:	Conradie, W. J.
Format:	Thesis
Language:	en_ZA
Published:	Stellenbosch : Stellenbosch University 2013
Subjects:	Value at risk Expected shortfall Extreme Value Theory South African market application Dissertations > Statistics and actuarial science Theses > Statistics and actuarial science Risk assessment > Mathematical models Risk management > Mathematical models Investment analysis GARCH model
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Internet

http://hdl.handle.net/10019.1/85674