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Contribution Details

Type Master's Thesis
Scope Discipline-based scholarship
Title Estimating and Backtesting Risk Measures
Organization Unit
Authors
  • Fang Zhang
Supervisors
  • Cosimo Munari
Language
  • English
Institution University of Zurich
Faculty Faculty of Business, Economics and Informatics
Number of Pages 48
Date July 2019
Abstract Text In this article, rst of all, I introduce the basic idea of risk. In second part, I introduce the idea and formula of Value-at-Risk and Expected Shortfall. In third part, I use three methods to estimate VaR and ES. In detail, they are analytical method, historical simulation method and Monte Carlo method. Then I try to backtest my estimation by two method:score function method and violation test method. In the last part, I construct a loss operator and l ll my plan above. based on the real data, I try to draw some conclusions for VaR and ES estimators. II
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