AGGREGATION OF GARCH PROCESS: FORECASTING V@R AND IMPROVED V@R
In investment, investors want to minimize the risks that can be done with aggregation. Value at Risk (V@R) is one of the most widely used risk measure. V@R aggregation is one of application that defined as the worst lost to be expected of aggregation at given confidence level. This final project, pr...
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| Format: | Final Project |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/21116 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |