<div class="csl-bib-body">
<div class="csl-entry">Surenian, A. (2012). <i>Zeitliche Skalierung von Value-at-Risk und Volatilität in Aktien- und Optionsportfolios</i> [Diploma Thesis, Technische Universität Wien]. reposiTUm. http://hdl.handle.net/20.500.12708/161024</div>
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dc.identifier.uri
http://hdl.handle.net/20.500.12708/161024
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dc.description
Abweichender Titel laut Übersetzung der Verfasserin/des Verfassers
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dc.description.abstract
This thesis is about calculating and scaling the two risk measures value-at-risk (var) and volatility, which are used in financial risk management applications to quantify the risk in an asset or option portfolio. Different approaches to modelling financial time series, such as GARCH processes, iid random variables or the self-similarity assumption are considered and taken into account for generating a 1-day value-at-risk estimate. Starting with the square-root-of-time rule for converting a 1-day var estimate into a T-day (T >1) var estimate, different scaling laws - based on the different approaches of modeling financial risk factors - are presented, computed and compared.
en
dc.language
Deutsch
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dc.language.iso
de
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dc.subject
Value-at-Risk GARCH Wurzel-T-Regel Skalierung
de
dc.subject
value-at-risk GARCH square-root-of-time rule temporal aggregation of financial risk
en
dc.title
Zeitliche Skalierung von Value-at-Risk und Volatilität in Aktien- und Optionsportfolios
de
dc.title.alternative
Temporal aggregation of value-at-risk and volatility in asset- and option portfolios
