Original title: Heavy Tails and Market Risk Measures: the Case of the Czech Stock Market
Translated title: Heavy Tails and Market Risk Measures: the Case of the Czech Stock Market
Authors: Bulva, Radek ; Zápal, Jan (advisor) ; Bubák, Vít (referee)
Document type: Rigorous theses
Year: 2011
Language: eng
Abstract: [eng] [cze]

Keywords: Expected Shortfall; Extreme Value Theory; Heavy Tails; Market Risk; Parametric and Semi-parametric Estimation; Statistics of Extremes; Value at Risk; Expected Shortfall; parametrické a semi-parametrické metody odhadu; teorie extrémních hodnot; tržní riziko; Těžké chvosty; Value at Risk

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/47719

Permalink: http://www.nusl.cz/ntk/nusl-312004


The record appears in these collections:
Universities and colleges > Public universities > Charles University > Charles University Faculties (theses)
Academic theses (ETDs) > Rigorous theses
 Record created 2017-05-09, last modified 2022-03-04


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