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dc.contributor.author
Ageeva, Evgenia
dc.date.accessioned
2017-06-09T17:52:58Z
dc.date.available
2017-06-09T17:52:58Z
dc.date.issued
2011-09
dc.identifier.uri
http://hdl.handle.net/20.500.11850/42704
dc.description.abstract
The main objective of this thesis is to develop a Markov chain Monte Carlo (MCMC) method under the Bayesian inference framework for estimating meta-t copula functions for modeling financial market risks. The complete posterior distribution of the copula parameters resulting from Bayesian MCMC allows further analysis such as calculating the risk measures that incorporate the parameter uncertainty. The simulation study of the fictitious and real equity portfolio returns shows that the parameter uncertainty tends to increase the risk measures, such as the Value-at-Risk and the Expected Shortfall of the profit-and-loss distribution.
dc.language.iso
en
dc.publisher
ETH Zürich
dc.title
Bayesian Inference for Multivariate t Copulas Modeling Financial Market Risk
dc.type
Master Thesis
ethz.size
86 p.
ethz.notes
.
ethz.publication.place
Zürich
ethz.publication.status
published
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02537 - Seminar für Statistik (SfS) / Seminar for Statistics (SfS)::03502 - Bühlmann, Peter L. / Bühlmann, Peter L.
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02537 - Seminar für Statistik (SfS) / Seminar for Statistics (SfS)::03502 - Bühlmann, Peter L. / Bühlmann, Peter L.
ethz.date.deposited
2017-06-09T17:53:19Z
ethz.source
ECIT
ethz.identifier.importid
imp59364ebe58e6e55819
ethz.ecitpid
pub:70930
ethz.eth
yes
ethz.availability
Metadata only
ethz.rosetta.installDate
2017-07-15T02:24:53Z
ethz.rosetta.lastUpdated
2018-10-01T14:47:47Z
ethz.rosetta.versionExported
true
ethz.COinS
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