Value-at-Risk for International Portfolio
碩士 === 淡江大學 === 財務金融學系碩士班 === 100 === The study applies Filitered Historical Simulation, GARCH-EVT model which McNeil(2000) proposed, and Copula Based FHS Model to evaluate Value at Risk(hence VaR) for international portfolio which contained European, American, and Taiwanese stock market. On the...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2012
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| Online Access: | http://ndltd.ncl.edu.tw/handle/24559322990378742832 |