MODELLING OF VALUE AT RISK (VaR) USING PARTICLE SWARM OPTIMIZATION METHOD
Shares are securities ownership is a sign someone who is one of firmas or as an alternative investment medium that has the potential level of gain or loss is greater when compared to the other media investments in the long term. Level of profits or lesses here each known as a positive return and neg...
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| Main Author: | |
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| Format: | Theses |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/20242 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | Shares are securities ownership is a sign someone who is one of firmas or as an alternative investment medium that has the potential level of gain or loss is greater when compared to the other media investments in the long term. Level of profits or lesses here each known as a positive return and negative return. In this thesis the author will measure the daily rate of gain or loss by measuring the value of VaR and ES. Distribution model is applied to the observational data GPD models. In determining the appropriate model, the author use a method known as PSO optimization. |
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