Double-index VaR model and skewed distribution of indices

Double-index VaR model and skewed distribution of indices

Value at Risk (VaR) is widely used in many financial institutions to measure portfolio risk. In our project, we examine if the single-index model under RM methodology that assumes normally distributed returns can be improved on. We try using—1) a skew-normal or skew-t distribution for the index r...

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書目詳細資料
Main Authors:	Chiam, Yee Hong, Yos, Virin, Zhou, Yuan
其他作者:	Low Chan Kee
格式:	Final Year Project
語言:	English
出版:	2009
主題:	DRNTU::Business::Finance::Risk management
在線閱讀:	http://hdl.handle.net/10356/15156
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Nanyang Technological University
語言:	English

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