The Performance in VaR with Different Estimation Periods
碩士 === 淡江大學 === 財務金融學系碩士班 === 99 === This thesis examines different estimation periods that would affect the performance of VaR. Because of the reports of the Basel committee, estimating VaR should be performed on a long and short term basis. As such, the estimation periods will be 250 days, 500...
| Main Authors: | , |
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2011
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| Online Access: | http://ndltd.ncl.edu.tw/handle/40655642547193293156 |