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...
| Hlavní autoři: | , |
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| Médium: | Diplomová práce |
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[Yogyakarta] : Universitas Gadjah Mada
2012
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