Revised Historical Simulation Methods for Estimating VaR
碩士 === 臺灣大學 === 國際企業學研究所 === 95 === Abstract This study made comparisons among the two revised historical simulation methods, Boudoukh, Richardson and Whitelaw’s (1998) hybrid method,Hull and White’s (1998) method, traditional historical method ,and Monte Carlo simulation for estimating Value-at...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/18457524444069282738 |