(CONDITIONAL) VALUE-AT-RISK PREDICTION ON RETURN HETEROSCEDASTIC MODEL
Risk in financial sector could be predicted using risk measure. Two risk measures that are commonly used, especially in finance, are Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR). In practice, Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR) are used for predicting return that...
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| Format: | Final Project |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/84155 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |