Applications of Copulas in Risk Aggregation
碩士 === 國立交通大學 === 統計學研究所 === 103 === The thesis considers the application of copula models in financial risk management. Here we focus on the estimation of Value-at-risk (VaR), which is the threshold loss value such that the probability that the loss during a given time horizon exceeds the value is...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2015
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| Online Access: | http://ndltd.ncl.edu.tw/handle/55944708320946798947 |