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dc.contributor.authorBlasko, Matej
dc.date.accessioned2014-03-03T20:03:03Z
dc.date.available2014-03-03T20:03:03Z
dc.date.issued2001-12
dc.identifier.otherblasko_matej_200112_phd
dc.identifier.urihttp://purl.galileo.usg.edu/uga_etd/blasko_matej_200112_phd
dc.identifier.urihttp://hdl.handle.net/10724/20285
dc.description.abstractValue-at-Risk (V@R) is a new, simple and yet informative measure of portfolio risk. This dissertation explores the impact of assumptions about an asset return-generating process on portfolio risk measurement and management within this new framework of enterprise financial risk management. The major contribution of this study is an identification of potential problems and consequences of model misspecification on risk measurement and ultimately on the corporate hedging decision. Chapter One reviews the normative and positive literature on financial risk management. Chapter Two explores the impact of model misspecification if the true (simulated) model returns are from a mixture of normal distributions with feasible parameters. The distributional properties of several assets, such as stocks, currencies and commodities, are examined in Chapter Three. The Maximum Likelihood Method and Method of Moments are used to estimate posited models. parameters and fit empirical distributions. V@R measures calculated from a mixture-of-normals model are then compared to measures from models commonly used by practitioners (e.g., RiskMetrics.), who assume either Gaussian, or some form of an ARCH (EWMA) process. The last chapter empirically explores characteristics of companies using V@R systems with a focus on the benefits and uses of Value-at-Risk systems in financial risk management.
dc.publisheruga
dc.rightspublic
dc.subjectFinancial Risk Management
dc.subjectValue at Risk
dc.subjectVar
dc.subjectEstimation Risk
dc.subjectModel Specification
dc.subjectReturn Processes
dc.subjectMixture of Normal Distributions
dc.subjectHedging
dc.titleFinancial risk management and value-at-risk:
dc.typeDissertation
dc.description.degreePhD
dc.description.departmentBanking and Finance
dc.description.majorBusiness Administration
dc.description.advisorJimmy E. Hilliard
dc.description.committeeJimmy E. Hilliard
dc.description.committeeJeffry M. Netter
dc.description.committeeWilliam D. Lastrapes
dc.description.committeeQing Zhang
dc.description.committeeStewart Mayhew


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