Value at risk based on independent component analysis
碩士 === 國立政治大學 === 國際經營與貿易研究所 === 98 === The Value at Risk (VaR) measures the potential loss in value of risky asset or portfolio over a defined period for a given confidence interval. The traditional way needs to estimate corresponding distribution and process of portfolio, which is very difficult....
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| Format: | Others |
| Language: | en_US |
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2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/58647236339842947897 |