An empirical investigation on estimations of VaR in financial risk management based on Basel Accords
碩士 === 國立交通大學 === 財務金融研究所 === 107 === Since the use of Value-at-Risk as a method of estimating risk has been raised, it has been receiving a lot of attention and research. This thesis focus on several GRACH-type model on Value-at-Risk forecasting for five indices under three different confidence lev...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2019
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| Online Access: | http://ndltd.ncl.edu.tw/handle/mcsfbh |