Confidence intervals for multivariate value at risk
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...
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| 主要な著者: | , |
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| フォーマット: | Conference or Workshop Item |
| 言語: | English |
| 出版事項: |
2012
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| 主題: | |
| オンライン･アクセス: | 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/ |
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