ESTIMASI VALUE AT RISK DAN EXPECTED TAIL LOSS DENGAN GENERALIZED ASYMMETRIC STUDENT-T DISTRIBUTION UNTUK RETURN ASET TUNGGAL
This thesis explain about risk use Value at Risk and Expected Tail Loss estimation with Generalized Asymmetric Student-t Distribution for single asset return. Generalized Asymmetric Student-t Distribution is generalization of student-t distribution and skew student-t distribution. This distribution...
| Main Authors: | , |
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| Format: | Thesis |
| Published: |
[Yogyakarta] : Universitas Gadjah Mada
2012
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| Subjects: |
| _version_ | 1797032746827120640 |
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| author | , ARIF AULIA RAHMAN , Dr. rer nat. Dedi Rosadi, M.Sc. |
| author_facet | , ARIF AULIA RAHMAN , Dr. rer nat. Dedi Rosadi, M.Sc. |
| author_sort | , ARIF AULIA RAHMAN |
| collection | UGM |
| description | This thesis explain about risk use Value at Risk and Expected Tail Loss
estimation with Generalized Asymmetric Student-t Distribution for single asset
return. Generalized Asymmetric Student-t Distribution is generalization of
student-t distribution and skew student-t distribution. This distribution have
characteristic heavy tailed and asymmetric. So,Value at Risk and Expected Tail
Loss with Generalized Asymmetric Student-t Distribution give a good risk
estimation. |
| first_indexed | 2024-03-13T22:43:16Z |
| format | Thesis |
| id | oai:generic.eprints.org:100622 |
| institution | Universiti Gadjah Mada |
| last_indexed | 2024-03-13T22:43:16Z |
| publishDate | 2012 |
| publisher | [Yogyakarta] : Universitas Gadjah Mada |
| record_format | dspace |
| spelling | oai:generic.eprints.org:1006222016-03-04T08:45:21Z https://repository.ugm.ac.id/100622/ ESTIMASI VALUE AT RISK DAN EXPECTED TAIL LOSS DENGAN GENERALIZED ASYMMETRIC STUDENT-T DISTRIBUTION UNTUK RETURN ASET TUNGGAL , ARIF AULIA RAHMAN , Dr. rer nat. Dedi Rosadi, M.Sc. ETD This thesis explain about risk use Value at Risk and Expected Tail Loss estimation with Generalized Asymmetric Student-t Distribution for single asset return. Generalized Asymmetric Student-t Distribution is generalization of student-t distribution and skew student-t distribution. This distribution have characteristic heavy tailed and asymmetric. So,Value at Risk and Expected Tail Loss with Generalized Asymmetric Student-t Distribution give a good risk estimation. [Yogyakarta] : Universitas Gadjah Mada 2012 Thesis NonPeerReviewed , ARIF AULIA RAHMAN and , Dr. rer nat. Dedi Rosadi, M.Sc. (2012) ESTIMASI VALUE AT RISK DAN EXPECTED TAIL LOSS DENGAN GENERALIZED ASYMMETRIC STUDENT-T DISTRIBUTION UNTUK RETURN ASET TUNGGAL. UNSPECIFIED thesis, UNSPECIFIED. http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=57250 |
| spellingShingle | ETD , ARIF AULIA RAHMAN , Dr. rer nat. Dedi Rosadi, M.Sc. ESTIMASI VALUE AT RISK DAN EXPECTED TAIL LOSS DENGAN GENERALIZED ASYMMETRIC STUDENT-T DISTRIBUTION UNTUK RETURN ASET TUNGGAL |
| title | ESTIMASI VALUE AT RISK DAN EXPECTED TAIL LOSS
DENGAN GENERALIZED ASYMMETRIC STUDENT-T DISTRIBUTION
UNTUK RETURN ASET TUNGGAL |
| title_full | ESTIMASI VALUE AT RISK DAN EXPECTED TAIL LOSS
DENGAN GENERALIZED ASYMMETRIC STUDENT-T DISTRIBUTION
UNTUK RETURN ASET TUNGGAL |
| title_fullStr | ESTIMASI VALUE AT RISK DAN EXPECTED TAIL LOSS
DENGAN GENERALIZED ASYMMETRIC STUDENT-T DISTRIBUTION
UNTUK RETURN ASET TUNGGAL |
| title_full_unstemmed | ESTIMASI VALUE AT RISK DAN EXPECTED TAIL LOSS
DENGAN GENERALIZED ASYMMETRIC STUDENT-T DISTRIBUTION
UNTUK RETURN ASET TUNGGAL |
| title_short | ESTIMASI VALUE AT RISK DAN EXPECTED TAIL LOSS
DENGAN GENERALIZED ASYMMETRIC STUDENT-T DISTRIBUTION
UNTUK RETURN ASET TUNGGAL |
| title_sort | estimasi value at risk dan expected tail loss dengan generalized asymmetric student t distribution untuk return aset tunggal |
| topic | ETD |
| work_keys_str_mv | AT arifauliarahman estimasivalueatriskdanexpectedtaillossdengangeneralizedasymmetricstudenttdistributionuntukreturnasettunggal AT drrernatdedirosadimsc estimasivalueatriskdanexpectedtaillossdengangeneralizedasymmetricstudenttdistributionuntukreturnasettunggal |