ESTIMASI VALUE AT RISK DAN EXPECTED SHORTFALL MENGGUNAKAN ASYMMETRIC EXPONENTIAL POWER DISTRIBUTION PADA DATA SAHAM
VaR is a risk measurement method that statistically estimate the maximum loss that may occur on an asset at a certain time and at a certain confidence level. However, often times the value of the loss exceeds the estimated VaR. VaR can not inform the magnitude of losses at the tail loss, thus introd...
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| Main Authors: | , |
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| Format: | Theses and Dissertations NonPeerReviewed |
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[Yogyakarta] : Universitas Gadjah Mada
2013
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| Online Access: | https://repository.ugm.ac.id/120811/ http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=60849 |
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| Institution: | Universitas Gadjah Mada |