Estimating VaR -Applying Monte Carlo Method and Response Surface Model
碩士 === 輔仁大學 === 金融研究所 === 91 === Value at risk (VaR) has become the most broadly employed risk measurement instrument in the banking sector .There are a number of approaches for the estimation of VaR. Among parametric approaches what involve specifying a parametric distribution for portfo...
| Main Authors: | , |
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| Format: | Others |
| Language: | en_US |
| Published: |
2003
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| Online Access: | http://ndltd.ncl.edu.tw/handle/26042043352904513324 |