The Empirical Analysis on the Value-at-Risk and Conditional Value-at-Risk Estimation of the Portfolio Return
碩士 === 淡江大學 === 統計學系碩士班 === 104 === Conditional Value-at-Risk is derived from Value-at-Risk and is also a risk measurement instrument used to detect the extreme events. In this research, historical simulation, variance-covariance method incorporating the exponential weighted moving average (EWMA), a...
Main Authors: | , |
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Other Authors: | |
Format: | Others |
Language: | zh-TW |
Published: |
2016
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Online Access: | http://ndltd.ncl.edu.tw/handle/82882455014131714540 |