Evaluation of value-at-risk models using historical data in Asia.
The concern of the study is the performance assessment of Value-at-Risk (VaR) models when applied to emerging markets in Asia. The VaR models are assessed on their performances under different parameter settings and under different market conditions. The models investigated include Historical Simula...
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Final Year Project (FYP) |
| Published: |
2008
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/10455 |