Essays on Risk Assessment and Risk Management

Essays on Risk Assessment and Risk Management

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This thesis consists of three singled-authored essays which examine topics in risk assessment and risk management in three distinct fields. The first essay, presented in chapter 1, analyzes the risk dynamics of hedge funds by introducing new risk factors which are used to assess the risk of hedge funds. The second essay, presented in chapter 2, investigates the performance of a set of modern risk models at predicting different risk measures across static as well as dynamic indices. The third essay, presented in chapter 3, examines if common portfolio insurance strategies are beneficial in the context of managing the investment risk in a pension fund setting.The third essay, presented in chapter 3, examines if common portfolio insurance strategies are beneficial in the context of managing the investment risk in a pension fund setting.


Title:Essays on Risk Assessment and Risk Management
Author: Thomas Rolf Althaus, Paul Söderlind, Ralf Seiz
Publisher: - 2015
ISBN-13:

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