ESTIMASI NILAI VaR PORTOFOLIO MENGGUNAKAN FUNGSI ARCHIMEDEAN COPULA

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:...

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Bibliographic Details
Main Authors: AULIA ATIKA PRAWIBTA SUHARTO, KOMANG DHARMAWAN, I WAYAN SUMARJAYA
Format: Article
Language:English
Published: Universitas Udayana 2017-01-01
Series:E-Jurnal Matematika
Subjects:
Portfolio
Value at Risk
Copula
Arhimedean Copula
Online Access:https://ojs.unud.ac.id/index.php/mtk/article/view/27155

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