An Extreme Value Model Based Value at Risk Estimation for Equity Portfolio in Taiwan
碩士 === 銘傳大學 === 金融研究所 === 87 === In using VaR systems to estimate risk degree, it should be considered about the variation of risk assets occurred by abnormal extreme events. And the RiskMetrics model proposed by JP Morgan and general econometrics model can''t capture the behaviors of this...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
1999
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| Online Access: | http://ndltd.ncl.edu.tw/handle/29371310424697468620 |