Archimedean copula in the computation of value-at-risk : an application to Singapore stock market.
The Value-at-Risk (VaR) is of central importance in modern financial risk management. Of the various methods that exist to compute the VaR, the most popular are historical simulation, the variance-covariance method. Gaussian Copula approach is preferred over the conventional method to compute VaR be...
| Main Authors: | , , , |
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| Other Authors: | |
| Format: | Final Year Project (FYP) |
| Language: | English |
| Published: |
2010
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/33745 |