EVALUASI MODEL SIMULASI HISTORIS VALUE AT RISK PORTFOLIO DENGAN METODE CHRISTOFFERSEN
According to Christoffersen (1998), the property of a good VaR model are correct unconditional coverage, correct independence test and correct conditional coverage. Unconditional coverage test calculate how much violations exceed the VaR. If average of violations exceeded the percentage of VaR value...
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| Format: | Thesis |
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[Yogyakarta] : Universitas Gadjah Mada
2014
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