La Trobe University
Rheanna is a PhD student in the Department of Mathematics and Statistics at La Trobe University. Her principal supervisor is Associate Professor Paul Kabaila and her co-supervisor is Dr David Farchione. Prior to her PhD studies, Rheanna completed a Bachelor of Finance and a Bachelor of Science with first class honours in statistics at La Trobe University. Her honours thesis was in the area of financial risk. In 2014 she was awarded The Department of Mathematics and Statistics Prize in Fourth Year Statistics.
This paper provides a detailed analysis of the relationship between approximate VaR (ES) and exact VaR (ES) by finding a linear regression model in which the response variable is the approximate VaR (ES) and the explanatory variable is the exact VaR (ES)…