Estimation of the Risk in Value at Risk
碩士 === 東吳大學 === 商用數學系 === 90 === Value at Risk (VaR) has become the standard tool used by many financial institutions to measure market risk. However, a VaR estimator may be affected by sample variation or estimation risk. Accordingly, the concept of risk in Value at Risk introduced by Jorion (1996)...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2002
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| Online Access: | http://ndltd.ncl.edu.tw/handle/19544859390224179649 |