Confidence intervals for multivariate value at risk

• المؤلفون الرئيسيون: Goh, Y. L., Pooi, Ah Hin *
• التنسيق: Conference or Workshop Item
• اللغة: English
• منشور في: 2012
• الموضوعات: QA Mathematics
• الوصول للمادة أونلاين: http://eprints.sunway.edu.my/201/1/Pooi%20Ah%20Hin%20-%20Confidence%20Intervals%20for%20Multivariate%20Value%20at%20Risk.pdf; http://eprints.sunway.edu.my/201/

Confidence intervals for the y-quantile of a linear combination of N non-normal variates with a linear dependence structure would be useful to the financial institutions as the intervals enable the accuracy of the value at risk (VaR) of a portfolio of investments to be quantified. Presently, we con...