Multidimensional risk analysis-demonstration research
碩士 === 國立政治大學 === 應用數學研究所 === 97 === Fong and Vasicek (1997) mentioned that risk analysis should include sensitivity analysis, value at risk (VaR) and stress testing, in order to capture portfolio risk. The calculation of VaR should not only consider the second moment but should also adjust the skew...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/30528510634484756871 |