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...
Saved in:
Main Authors: | , |
---|---|
Format: | Conference or Workshop Item |
Language: | English |
Published: |
2012
|
Subjects: | |
Online Access: | 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/ |
Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Be the first to leave a comment!