MONTE CARLO-COPULA-GARCH FOR PREDICTING VALUE-AT-RISK OF TWO ASSETS PORTFOLIO
Monte Carlo Simulation is the most popular method for analyzing risk measurements. This method gives more adequate result than any other methods, i.e., Historical Simulation and Delta Method . Predicting risk measurements, such as Value-at-Risk, in finance framework, generally involves more than one...
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| Format: | Final Project |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/24746 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |