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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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書誌詳細
主要な著者:	Goh, Y. L., Pooi, Ah Hin *
フォーマット:	Conference or Workshop Item
言語:	English
出版事項:	2012
主題:	QA Mathematics
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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