Using Monte Carlo Smulation to Calculate Fat-tailed VaR
碩士 === 國立臺灣大學 === 財務金融學研究所 === 94 === The risk management technique known as VaR(Value-at-Risk) has recently become an important tool for measuring the market risk of financial and commodity derivative instruments, and other financial instruments. VaR models measure the loss of a portfolio or an ass...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/73819407472209945398 |