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postgraduate thesis: Expected shortfall and value-at-risk under a model with market risk and credit risk

TitleExpected shortfall and value-at-risk under a model with market risk and credit risk
Authors
Advisors
Advisor(s):Yang, H
Issue Date2006
PublisherThe 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
DegreeMaster of Philosophy
SubjectRisk management - Mathematical models.
Financial futures - Mathematical models.
Markov processes.
Dept/ProgramStatistics and Actuarial Science

 

DC FieldValueLanguage
dc.contributor.advisorYang, H-
dc.contributor.authorSiu, Kin-bong, Bonny.-
dc.contributor.author蕭健邦.-
dc.date.issued2006-
dc.identifier.citationSiu, 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.languageeng-
dc.publisherThe University of Hong Kong (Pokfulam, Hong Kong)-
dc.relation.ispartofHKU Theses Online (HKUTO)-
dc.rightsThe author retains all proprietary rights, (such as patent rights) and the right to use in future works.-
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.source.urihttp://hub.hku.hk/bib/B37727473-
dc.subject.lcshRisk management - Mathematical models.-
dc.subject.lcshFinancial futures - Mathematical models.-
dc.subject.lcshMarkov processes.-
dc.titleExpected shortfall and value-at-risk under a model with market risk and credit risk-
dc.typePG_Thesis-
dc.identifier.hkulb3772747-
dc.description.thesisnameMaster of Philosophy-
dc.description.thesislevelMaster-
dc.description.thesisdisciplineStatistics and Actuarial Science-
dc.description.naturepublished_or_final_version-
dc.description.natureabstract-
dc.identifier.doi10.5353/th_b3772747-
dc.date.hkucongregation2006-

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