Applying a copula to the estimation of value-at-risk

Value-at-Risk (VaR) is a common tool employed in the estimation of market risk. Traditionally, VaR of a portfolio is estimated through an assumption of normally distributed portfolio returns. Yet, as we delve further into the estimation of VaR, we believe that returns are not always normally distrib...

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Bibliographic Details
Main Authors: Ang, Fang Ting, Shen, Angela Xiao'Ou, Khoo, Isabella Hui Ling
Other Authors: Wu Yuan
Format: Final Year Project
Language:English
Published: 2013
Subjects:
Online Access:http://hdl.handle.net/10356/51305
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Institution: Nanyang Technological University
Language: English