ESTIMASI NILAI VaR PORTOFOLIO MENGGUNAKAN FUNGSI ARCHIMEDEAN COPULA
Value at Risk explains the magnitude of the worst losses occurred in financial products investments with a certain level of confidence and time interval. The purpose of this study is to estimate the VaR of portfolio using Archimedean Copula family. The methods for calculating the VaR are as follows:...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Universitas Udayana
2017-01-01
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| Series: | E-Jurnal Matematika |
| Subjects: | |
| Online Access: | https://ojs.unud.ac.id/index.php/mtk/article/view/27155 |