Luận Văn Statistical methods of valuation and risk assessment: empirical analysis of equity markets and hedge

1. introduction

2. quantification of equity market risk: riskometer

2.1. introduction

2.2. data

2.3. methods

2.4. risk measures

2.5. backtesting

3. empirical characteristics of hedge fund strategies

3.1. introduction

3.2. data

3.3. risk – return characteristics

3.4. dependence structure analysis

3.5. generalized style analysis

3.6. time – varying exposures analysis

4. concluding remarks

5. references

6. glossary

7. fitting copulas

8. digital filtering