BACKTESTING METHODS FOR VALUE AT RISK MODELS
Value at Risk is a loss estimation that could occur for a given holding period with a given confidence level. Estimated losses are certainly not always the same as the actual losses incurred. An event called an exception if the real nominal of loss is greater than the nominal of estimated loss (VaR)...
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| Format: | Final Project |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/19570 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |