Copulas for Risk Management in Financial Market
碩士 === 國立成功大學 === 統計學系碩博士班 === 95 === This thesis studies the copula-based method to model relationship of financial asset returns and calculate the value-at-risk (VaR) of portfolio returns. Five candidate copulas are used to fit the empirical data, and the comparisons of the simulated VaR by copula...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/82682072397241469124 |