ESTIMASI NILAI CONDITIONAL VALUE AT RISK MENGGUNAKAN FUNGSI GAUSSIAN COPULA
<p><em>Copula is already widely used in financial assets, especially in risk management. It is due to the ability of copula, to capture the nonlinear dependence structure on multivariate assets. In addition, using copula function doesn’t require the assumption of normal distribution. The...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Universitas Udayana
2015-11-01
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| Series: | E-Jurnal Matematika |
| Subjects: | |
| Online Access: | http://ojs.unud.ac.id/index.php/mtk/article/view/16642 |