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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| Main Authors: | , , |
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| 其他作者: | |
| 格式: | Final Year Project |
| 語言: | English |
| 出版: |
2013
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| 主題: | |
| 在線閱讀: | http://hdl.handle.net/10356/51305 |
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| 機構: | Nanyang Technological University |
| 語言: | English |