CALCULATING VaR AND ES ON HEAVY TAILED DISTRIBUTION OF A CLAIMS DATA
Risk measurement is one of many risk management ways. Value-at-Risk (VaR) and Expected Shortfall (ES) are two measuring risks which are commonly used in pre- dicting risks in the future. There are some methods which were used to calculate VaR and ES. These methods are classied to two kinds of det...
Saved in:
| Main Author: | |
|---|---|
| Format: | Final Project |
| Language: | Indonesia |
| Subjects: | |
| Online Access: | https://digilib.itb.ac.id/gdl/view/34200 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
Be the first to leave a comment!