VALUE-AT-RISK WITH VARIABILITY EFFECT OF PARAMETER
Measuring risk needs to be done for anticipating the loss of the changing price (return). The measuring risk of maximum loss with a probability level of the changing price can use Value-at-Risk. The focus on this thesis is the effect variability of parameter on Value-at-Risk. Model Time Series is us...
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| Format: | Final Project |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/17063 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |