Applications of Quantile Regressions on the Estimations and Backfit Tests for VaR
碩士 === 國立中興大學 === 財務金融系所 === 101 === Value at Risk(VaR) is a widely used measure of the risk of loss on a specific protfolio of financial assets. The Basel Capital Accord beginning in 1999, gave further push to the use of VaR. Now, there are many kinds of methods to caculate the VaR, such as parame...
| Main Authors: | , |
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2013
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| Online Access: | http://ndltd.ncl.edu.tw/handle/6x8h8z |