Risk Assessment on Option Portfolio: Cross-Period Analysis of Value at Risk and Expected Tail Loss
碩士 === 輔仁大學 === 金融研究所 === 97 === This research is based on measuring risk on Option Portfolio. Estimate Value at Risk and Expected Tail Loss as the Risk Measuring. To differ other literatures in the past that only estimating the risk at specific time point, our research use Cross-Period analysis to...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/87142502816379076596 |