Extreme value approach: The fourth model of value-at-risk
This study focuses on assessing the accuracy of the existing and widely accepted value-at-risk estimation models-- traditional historical simulation, parametric method, Monte Carlo simulation and the relatively new method, the extreme value approach. Moreover, this study emphasizes the volatility of...
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Main Authors: | Lucero, Joe Marcoln R., Pacumio, Margaret C., Ramoy, Andrea Gabrielle L., Sy, Jerick Mark G. |
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Format: | text |
Language: | English |
Published: |
Animo Repository
2017
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Subjects: | |
Online Access: | https://animorepository.dlsu.edu.ph/etd_bachelors/8500 |
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Institution: | De La Salle University |
Language: | English |
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