MODELLING OF VALUE AT RISK (VaR) USING PARTICLE SWARM OPTIMIZATION METHOD

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: PRAFIDYA ROMANTICA (NIM : 20812002); Pembimbing : Dr.Novriana Sumarti , KRISHNA
Format: Theses
Language:Indonesia
Online Access:https://digilib.itb.ac.id/gdl/view/20242
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Institution: Institut Teknologi Bandung
Language: Indonesia
id id-itb.:20242
spelling id-itb.:202422017-10-09T10:16:36ZMODELLING OF VALUE AT RISK (VaR) USING PARTICLE SWARM OPTIMIZATION METHOD PRAFIDYA ROMANTICA (NIM : 20812002); Pembimbing : Dr.Novriana Sumarti , KRISHNA Indonesia Theses INSTITUT TEKNOLOGI BANDUNG https://digilib.itb.ac.id/gdl/view/20242 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. text
institution Institut Teknologi Bandung
building Institut Teknologi Bandung Library
continent Asia
country Indonesia
Indonesia
content_provider Institut Teknologi Bandung
collection Digital ITB
language Indonesia
description 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.
format Theses
author PRAFIDYA ROMANTICA (NIM : 20812002); Pembimbing : Dr.Novriana Sumarti , KRISHNA
spellingShingle PRAFIDYA ROMANTICA (NIM : 20812002); Pembimbing : Dr.Novriana Sumarti , KRISHNA
MODELLING OF VALUE AT RISK (VaR) USING PARTICLE SWARM OPTIMIZATION METHOD
author_facet PRAFIDYA ROMANTICA (NIM : 20812002); Pembimbing : Dr.Novriana Sumarti , KRISHNA
author_sort PRAFIDYA ROMANTICA (NIM : 20812002); Pembimbing : Dr.Novriana Sumarti , KRISHNA
title MODELLING OF VALUE AT RISK (VaR) USING PARTICLE SWARM OPTIMIZATION METHOD
title_short MODELLING OF VALUE AT RISK (VaR) USING PARTICLE SWARM OPTIMIZATION METHOD
title_full MODELLING OF VALUE AT RISK (VaR) USING PARTICLE SWARM OPTIMIZATION METHOD
title_fullStr MODELLING OF VALUE AT RISK (VaR) USING PARTICLE SWARM OPTIMIZATION METHOD
title_full_unstemmed MODELLING OF VALUE AT RISK (VaR) USING PARTICLE SWARM OPTIMIZATION METHOD
title_sort modelling of value at risk (var) using particle swarm optimization method
url https://digilib.itb.ac.id/gdl/view/20242
_version_ 1821120090987298816

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