ESTIMASI CVAR PADA PORTOFOLIO SAHAM MENGGUNAKAN METODE GJR-EVT DENGAN PENDEKATAN D-VINE COPULA
Risk measure using Conditional Value at Risk can be calculate if values that exceeds the p-quantile is known in VaR. The models used to accommodate characteristics of the stock portfolio in this research are EVT-GARCH-D-vine copula and EVT-GJR-D-vine copula so the performance of these two models can...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Universitas Udayana
2022-05-01
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| Series: | E-Jurnal Matematika |
| Online Access: | https://ojs.unud.ac.id/index.php/mtk/article/view/87236 |