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...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Theses and Dissertations NonPeerReviewed |
| Published: |
[Yogyakarta] : Universitas Gadjah Mada
2013
|
| Subjects: | |
| 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 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Universitas Gadjah Mada |
Be the first to leave a comment!