Development of value at risk measures : towards an extreme value approach

Development of value at risk measures : towards an extreme value approach

Thesis (MBA)--Stellenbosch University, 2001. === ENGLISH ABSTRACT: Commercial banks, investment banks, insurance companies, non-financial firms, and pension funds hold portfolios of assets that may include stocks, bonds, currencies, and derivatives. Each institution needs to quantify the amount o...

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Bibliographic Details
Main Author: Ganief, Moegamad Shahiem
Other Authors: Biekpe, N.
Format: Others
Language:en_ZA
Published: Stellenbosch : Stellenbosch University 2012
Subjects:
Risk management
Extreme value theory
Portfolio management
Investment analysis
Market risk
Dissertations > Business management
Theses > Business management
Online Access:http://hdl.handle.net/10019.1/52189

Internet

http://hdl.handle.net/10019.1/52189

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