Title page for ETD etd-050212-110755

Document Type	masters report
Author Name	Qu, Jing
URN	etd-050212-110755
Title	Market and Credit Risk Models and Management Report
Degree	MS
Department	Mathematical Sciences
Advisors	Marcel Y. Blais, Advisor Bogdan Vernescu, Department Head
Keywords	Portfolio Optimization Value at Risk Expected Shortfall ARMA-GARCH Model Risk Reduction
Date of Presentation/Defense	2012-05-01
Availability	unrestricted
Abstract This report is for MA575: Market and Credit Risk Models and Management, given by Professor Marcel Blais. In this project, three different methods for estimating Value at Risk (VaR) and Expected Shortfall (ES) are used, examined, and compared to gain insightful information about the strength and weakness of each method. In the first part of this project, a portfolio of underlying assets and vanilla options were formed in an Interactive Broker paper trading account. Value at Risk was calculated and updated weekly to measure the risk of the entire portfolio. In the second part of this project, Value at Risk was calculated using semi-parametric model. Then the weekly losses of the stock portfolio and the daily losses of the entire portfolio were both fitted into ARMA(1,1)-GARCH(1,1), and the estimated parameters were used to find their conditional value at risks (CVaR) and the conditional expected shortfalls (CES).
Files	Capstone_Report_for_MA575.pdf

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