Measuring portfolio Value-at-Risk by a Bayesian CEVT-Copula based approach
碩士 === 國立彰化師範大學 === 企業管理學系 === 95 === In this paper, we estimate portfolio’s 99% Value-at-Risk of 5 Asian countries’ index equity over a one-day holding period with a Bayesian CEVT-Copula based approach. In order to test the effectiveness of this model we perform a backtest procedure and calculate t...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2007
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/36934366687694064883 |