Value-at-risk modelling for the Malaysian stock exchange based on Monte Carlo simulation / Zatul Karamah Haji Ahmad Baharul-Ulum
This study puts forward Value-at-Risk (VaR) models based on Monte Carlo Simulation (MCS) that are integrated with several volatility representations to estimate the market risk for seven non-financial sectors traded on the first board of the Malaysian stock exchange which is now known as Bursa Malay...
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主要作者: | Haji Ahmad Baharul-Ulum, Zatul Karamah |
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格式: | Thesis |
語言: | English |
出版: |
2008
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主題: | |
在線閱讀: | http://ir.uitm.edu.my/id/eprint/15518/1/TP_ZATUL%20KARAMAH%20AHMAD%20BAHARUL-ULUM%20BM%2008_5.PDF http://ir.uitm.edu.my/id/eprint/15518/ |
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