Applying a copula to the estimation of value-at-risk
Value-at-Risk (VaR) is a common tool employed in the estimation of market risk. Traditionally, VaR of a portfolio is estimated through an assumption of normally distributed portfolio returns. Yet, as we delve further into the estimation of VaR, we believe that returns are not always normally distrib...
| Main Authors: | , , |
|---|---|
| Other Authors: | |
| Format: | Final Year Project (FYP) |
| Language: | English |
| Published: |
2013
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/51305 |