ESTIMASI VALUE AT RISK DAN EXPECTED SHORTFALL MENGGUNAKAN ASYMMETRIC EXPONENTIAL POWER DISTRIBUTION PADA DATA SAHAM
VaR is a risk measurement method that statistically estimate the maximum loss that may occur on an asset at a certain time and at a certain confidence level. However, often times the value of the loss exceeds the estimated VaR. VaR can not inform the magnitude of losses at the tail loss, thus introd...
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| Format: | Thesis |
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[Yogyakarta] : Universitas Gadjah Mada
2013
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