Implementation of State-Space Method and VaR Applied to Risk Alert Model
碩士 === 元智大學 === 工業工程與管理學系 === 94 === In this thesis, a new risk alert model is proposed. This model mainly has three parts. First, Value at Risk (VaR) is taken to be the monitoring benchmark because VaR can represent what risk level is the whole portfolio involved in. Second, state-space method is a...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/79338515453706365760 |