THE RISK PREDICTION MEASUREMENT OF TAIL-VALUE-AT-RISK (TVAR) FOR RISK AGGREGATE
The risk aggregate is a widely used risk model for modeling financial losses. The risk aggregate used in this thesis involves two components of random variable having interdependent assumptions. Next, the measure of the risk are required to know the amount of the risk. Value-at-Risk (VaR) and Tail-V...
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| Format: | Theses |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/20873 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |