Applying Different VaR Models to Asian Countries
碩士 === 國立臺灣大學 === 財務金融學研究所 === 94 === Although Value at Risk (VaR) has been broadly welcomed by financial market participants as a risk management tool, some of its assumptions are widely criticized in the academic literatures. Conditional-VaR (CVaR) is a risk measure intended to capture the fat-tai...
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| Format: | Others |
| Language: | en_US |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/56250182408982352942 |