Measuring Risk utilizing Credible Monte Carlo Value at Risk and Credible Monte Carlo Expected Tail Loss
This paper proposes two new methods to measure the risk of individual stocks, which construct a portfolio, namely Credible Monte Carlo Value at Risk (CMC VaR) and Credible Monte Carlo Expected Tail Loss (CMC ETL). The CMC VaR is developed by combining the concept of Credible Value at Risk (Cr V...
| Main Authors: | , , |
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| Format: | Other |
| Language: | English |
| Published: |
IAENG International Journal of Applied Mathematics
2022
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| Subjects: | |
| Online Access: | https://repository.ugm.ac.id/284235/1/IJAM_52_1_31.pdf |