Estimation of value-at-risk and expected shortfall using copulas

Sumbhoolaul, Helina

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Department of Statistical Sciences

Estimation of value-at-risk and expected shortfall using copulas

dc:creator Sumbhoolaul, Helina

dc:date.issued2008

Abstract

dc:description.abstract

Includes bibliographical references (leaves 76-77).

Degree

thesis:*

Grantor dc:publisher.institution: Department of Statistical Sciences
Year dc:date.issued: 2008

Author and committee

dc:creator, dc:contributor.*

Author dc:creator: Sumbhoolaul, Helina
Advisor dc:contributor.advisor: Haines, Linda

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Language dc:language.iso: eng

Identifiers

dc:identifier.*

Handle dc:identifier.uri: http://hdl.handle.net/11427/4362
OAI identifier oai:identifier: oai:open.uct.ac.za:11427/4362

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Harvested from: University of Cape Town
Base URL: open.uct.ac.za/oai/request
Last updated: 2026-07-22
Source record: OAI-PMH GetRecord

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citation

Sumbhoolaul, Helina. Estimation of value-at-risk and expected shortfall using copulas. Department of Statistical Sciences, 2008. http://hdl.handle.net/11427/4362

Estimation of value-at-risk and expected shortfall using copulas

Abstract

Degree

Author and committee

Rights

Identifiers

Chain of custody

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