Evaluation of Operating Characteristics of Hybrid Approach of Calculating Value at Risk
碩士 === 國立臺灣大學 === 數學研究所 === 95 === VaR(Value at Risk) is a method of assessing risk that uses standard statistical techniques routinely used in other technical fields. In this thesis, we focus on finding the characteristics of hybrid approach proposed in Boudokh, Richardson and Whitelaw (1998) which...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2007
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/58723883298178276671 |