Evaluation and Empirical Study for Value at Risk Based on the DVEC-GARCH Model
碩士 === 國立中央大學 === 統計研究所 === 97 === In recent years, risk management has become an important topic, and value at risk (VaR) is a powerful tool for assessing market risk. This research adopts four methods, including the delta-noraml approximation, the delta-gamma approximation, the Monte Carlo simula...
| 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/78a252 |