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Thesis

Model free optimisation in risk management

Abstract:

Following the financial crisis of 2008, the need for more robust techniques to quantify the capital charge for risk management has become a pressing problem. Under Basel II/III, banks are allowed to calculate the capital charge using internally developed models subject to regulatory approval. An interesting problem for the regulator is to compare the resulting figures against the required capital under worst case scenarios. The existing literature on the latter problem, which is based on t...

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Institution:
University of Oxford
Division:
MPLS
Department:
Mathematical Institute
Research group:
Mathematical And Computational Finance
Oxford college:
Lincoln College
Role:
Author

Contributors

Role:
Supervisor
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Name:
EPSRC
Funding agency for:
Shahverdyan, S
Grant:
EP/H02686X/1
Publication date:
2015
Type of award:
DPhil
Level of award:
Doctoral
Awarding institution:
University of Oxford
Language:
English
Keywords:
Subjects:
UUID:
uuid:6ae9525e-1120-448b-89a2-1670955eb833
Local pid:
ora:12536
Deposit date:
2016-07-12

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