EVALUASI VALUE-AT-RISK PADA DATA DESK-LEVEL DAN MODEL YANG TIDAK TEPAT SPESIFIKASI
Value-at-Risk is one of the risk measurement that always can be used by investor for controlling the risk level. VaR can be obtained by calculating the quantile of the distribution of loss data. The accuracy of VaR prediction depends on choosing the correct model. In this thesis, we will evaluate Va...
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| Format: | Final Project |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/15230 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |