Show simple item record

dc.contributor.advisorBickis, Mikelis
dc.creatorAchath, Sudhakar 1955-
dc.date.accessioned2017-05-29T22:30:41Z
dc.date.available2017-05-29T22:30:41Z
dc.date.created2017-10
dc.date.issued2017-05-29
dc.date.submittedOctober 2017
dc.identifier.urihttp://hdl.handle.net/10388/7889
dc.description.abstractThis study is about developing some further ideas in imprecise probability models of financial risk measures. A financial risk measure has been interpreted as an upper prevision of imprecise probability, which through the conjugacy relationship can be seen as a lower prevision. The risk measures selected in the study are value-at-risk (VaR) and conditional value-at-risk (CVaR). The notion of coherence of risk measures is explained. Stocks that are traded in the financial markets (the risky assets) are seen as the gambles. The study makes a determination through computation from actual assets data whether the risk measure assessments of gambles (assets) are coherent as an imprecise probability. It is observed that coherence of assessments depends on the asset's returns distribution characteristic.
dc.format.mimetypeapplication/pdf
dc.subjectImprecise Probability, Lower Prevision, Risk Measure, Coherence
dc.titleComputational Determination of Coherence of Financial Risk Measure as a Lower Prevision of Imprecise Probability
dc.typeThesis
dc.date.updated2017-05-29T22:30:41Z
thesis.degree.departmentMathematics and Statistics
thesis.degree.disciplineMathematics
thesis.degree.grantorUniversity of Saskatchewan
thesis.degree.levelMasters
thesis.degree.nameMaster of Science (M.Sc.)
dc.type.materialtext
dc.contributor.committeeMemberSamei, Ebrahim
dc.contributor.committeeMemberLi, Longhai
dc.contributor.committeeMemberWilson, Craig


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record