Risk measure estimation in finance.

摘要

In financial market, risk management is very critical to a company. However, some risks in the market (market risk) can not be controlled or eliminated through management improvement or appropriate asset allocation. Thus, it is important to accurately measure these kinds of risks.;In this thesis, we introduce two most widely used risk measures: value-at-risk and expected shortfall. Their estimation from data is the issue we are concerned with in this thesis. We divide this thesis into two parts: First, we survey the currently used estimation methods. We introduce these methods from the theoretical backgrounds. Then, we propose some criteria used to judge the performance of these methods. Second, we apply all these methods to data. We use the criteria introduced to compare these methods. This empirical study can shed some light on the application of these methods, bringing us some guidelines about their use in the future.