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postgraduate thesis: Expected shortfall and value-at-risk under a model with market risk and credit risk
| Title | Expected shortfall and value-at-risk under a model with market risk and credit risk |
|---|---|
| Authors | |
| Advisors | Advisor(s):Yang, H |
| Issue Date | 2006 |
| Publisher | The University of Hong Kong (Pokfulam, Hong Kong) |
| Citation | Siu, K. B. [蕭健邦]. (2006). Expected shortfall and value-at-risk under a model with market risk and credit risk. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b3772747 |
| Degree | Master of Philosophy |
| Subject | Risk management - Mathematical models. Financial futures - Mathematical models. Markov processes. |
| Dept/Program | Statistics and Actuarial Science |
| Persistent Identifier | http://hdl.handle.net/10722/52753 |
| HKU Library Item ID | b3772747 |
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.advisor | Yang, H | - |
| dc.contributor.author | Siu, Kin-bong, Bonny. | - |
| dc.contributor.author | 蕭健邦. | - |
| dc.date.issued | 2006 | - |
| dc.identifier.citation | Siu, K. B. [蕭健邦]. (2006). Expected shortfall and value-at-risk under a model with market risk and credit risk. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b3772747 | - |
| dc.identifier.uri | http://hdl.handle.net/10722/52753 | - |
| dc.language | eng | - |
| dc.publisher | The University of Hong Kong (Pokfulam, Hong Kong) | - |
| dc.relation.ispartof | HKU Theses Online (HKUTO) | - |
| dc.rights | The author retains all proprietary rights, (such as patent rights) and the right to use in future works. | - |
| dc.rights | This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License. | - |
| dc.source.uri | http://hub.hku.hk/bib/B37727473 | - |
| dc.subject.lcsh | Risk management - Mathematical models. | - |
| dc.subject.lcsh | Financial futures - Mathematical models. | - |
| dc.subject.lcsh | Markov processes. | - |
| dc.title | Expected shortfall and value-at-risk under a model with market risk and credit risk | - |
| dc.type | PG_Thesis | - |
| dc.identifier.hkul | b3772747 | - |
| dc.description.thesisname | Master of Philosophy | - |
| dc.description.thesislevel | Master | - |
| dc.description.thesisdiscipline | Statistics and Actuarial Science | - |
| dc.description.nature | published_or_final_version | - |
| dc.description.nature | abstract | - |
| dc.identifier.doi | 10.5353/th_b3772747 | - |
| dc.date.hkucongregation | 2006 | - |
| dc.identifier.mmsid | 991018725869703414 | - |