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

• المؤلفون الرئيسيون: Ang, Fang Ting, Shen, Angela Xiao'Ou, Khoo, Isabella Hui Ling
• مؤلفون آخرون: Wu Yuan
• التنسيق: Final Year Project
• اللغة: English
• منشور في: 2013
• الموضوعات: DRNTU::Business
• الوصول للمادة أونلاين: http://hdl.handle.net/10356/51305
• المؤسسة: Nanyang Technological University

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...