The Underestimating Effect of VaR Under the Occurrence of Extreme Events
碩士 === 銘傳大學 === 金融研究所碩士在職專班 === 90 === Abstract With vast wide use of VaR in financial institutions, it has been a standard measure of markets risk. In reality, VaR of one portfolio does not fully reflect the possibility of loss larger than VaR. Technically speaking, this corresponds to...
| Main Authors: | , |
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2002
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| Online Access: | http://ndltd.ncl.edu.tw/handle/03956159556980441832 |