EXPLORATION OF VALUE-AT-RISK AND VALUE-AT-RISK MODIFICATION RISK MEASURE
Value-at-Risk (VaR) is one of popular risk measure used in risk management. This risk measure will use the infimum of risk distribution function and does not consider the magnitude of risk factor. Some improvements of VaR are studied in order to obtain a better risk measure. VaR can be improved by c...
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| Format: | Final Project |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/21511 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |