MODIFICATIONS OF CONDITIONAL QUANTILES OF DEPENDENCE MODELS AS SYSTEMIC RISK MEASURES WITH GRAPH REPRESENTATION
As one of the statistical properties of a random variable, the quantile plays a crucial role in many statistical problems, including in the computation of the Value-at-Risk (VaR) risk measure in financial and actuarial statistics. The quantile can be determined for a target random variable, given (q...
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| 格式: | Dissertations |
| 語言: | Indonesia |
| 在線閱讀: | https://digilib.itb.ac.id/gdl/view/81453 |
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