Weighted-VaR Estimators and Its Applications to Portfolio Problems
碩士 === 國立高雄大學 === 統計學研究所 === 103 === Value at risk (VaR) is a very important issue in calculating capital requirements. In this talk, we consider the five canonical methods, historical simulation method, Bootstrap method, Monte Carlo method, and two Generalized Pareto Distributed (GPD) models to est...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2015
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| Online Access: | http://ndltd.ncl.edu.tw/handle/82869419398369740628 |