Evaluating the Accuracy of Value-at-Risk Models－The Case of Taiwan Weighted Stock Index
碩士 === 國立臺灣大學 === 國際企業學研究所 === 96 === After reading lots of papers and related articles, I find that most people use extreme value theory to calculate value-at-risk. The reason is that it is not necessary to assume the distribution of the portfolio in advance by using the theory. All that we need to...
| Main Authors: | , |
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/66390630899291088356 |