凯捷安永 - Alternative Investments and Risk Measurement.pptVIP

Alternative Investments and Risk Measurement;Contents;Alternative Investments;Non-normality;Implications of non-normality;The model;Assumptions for our model;Modeling the alternative returns;The NIG distribution;Modeling the dependence structure;Risk measures;Monte Carlo Simulation;Application;Computation;Optimal variance;Optimal Value at Risk;Optimal Expected Shortfall;Conclusions;Contacts;Questions?