Essays about: "Sreeja Madhavi Prajeesh"

Found 1 essay containing the words Sreeja Madhavi Prajeesh.

  1. 1. A study incorporating skewness in Expected Shortfall Estimation

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Sreeja Madhavi Prajeesh; [2021]
    Keywords : Value at Risk; Expected shortfall; normal distribution; student t-distribution; skewed student t-distribution.; Business and Economics;

    Abstract : Expected Shortfall has become a prominent risk measure after the global financial crisis which hit the economy in 2007. This master thesis examines whether Expected Shortfall (ES) estimation gives better estimates when we incorporate skewness and the impact during turbulent versus tranquil period. READ MORE