VALUE-AT-RISK PREDICTION USING EXPECTILES
Value at Risk (VaR) has become the standard measure of risk employed by finan- cial institutions for both internal and regulatory purposes. VaR is defined as an estimation of the largest loss that may occur in the span of time or a certain time period forecasted by some chance level. Defining the...
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| Format: | Final Project |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/17906 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |