Browsing Administration by Author "Müller, Fernanda Maria"
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A comparison of range value at risk forecasting models
Gössling, Thalles Weber (2021) [Dissertation]Risk forecasting is an important and helpful process for investors, fund managers, traders, and market makers. Choosing an inappropriate risk forecasting model can trigger irreversible losses. In this context, this study ... -
Empirical asset pricing : the relationship between three categories of risk measures and the cross-section of expected stock returns
Fracasso, Laís Martins (2021) [Dissertation]Este estudo examinou as evidências da relação entre treze medidas de risco e os retornos esperados de ações. Consideramos medidas que avaliam a perda, o desvio e ambos os conceitos de risco simultaneamente. Usamos os ... -
Essays on model risk for risk measures
Müller, Fernanda Maria (2019) [Thesis]In this dissertation, we present a compilation of three articles discussing model risk for risk measures. In the first one, using Monte Carlo simulation, we analyze the performance of multivariate models in forecasting ... -
On range value at risk backtesting : a study from expected shortfall procedures
Moura, Henrique Rodenbusch de (2023) [Dissertation]Risk forecasting has played a major role in the risk management process, drawing the attention of financial organizations, regulators, and the academic community over the past decades to develop better tools to measure ...