Need ideas for Master's thesis

[Mike Faulk]

Hi Quantnet!

I'm doing a MFE and I need to find a subject for my thesis. I'd be interested to do something related to risk management.

All ideas are welcome!

 

[Ken Abbott]

Risk quants have tried many ways to make their models responsive to changes in the market. Some have kept their core VaR methodologies, shortening the historical "window". Others have used exponential smoothing to make more recent observations weigh more heavily on the final result. Still others have used scaling factors to adjust current volatility. How have these measures performed?

 

[Mike Faulk]

Thanks for the idea! That's a really interesting subject