Confidence intervals for multivariate value at risk
نویسندگان
چکیده
منابع مشابه
conditional copula-garch methods for value at risk of portfolio: the case of tehran stock exchange market
ارزش در معرض ریسک یکی از مهمترین معیارهای اندازه گیری ریسک در بنگاه های اقتصادی می باشد. برآورد دقیق ارزش در معرض ریسک موضوع بسیارمهمی می باشد و انحراف از آن می تواند موجب ورشکستگی و یا عدم تخصیص بهینه منابع یک بنگاه گردد. هدف اصلی این مطالعه بررسی کارایی روش copula-garch شرطی در برآورد ارزش در معرض ریسک پرتفویی متشکل از دو سهام می باشد و ارزش در معرض ریسک بدست آمده با روشهای سنتی برآورد ارزش د...
Normal Distribution, "p" Value and Confidence Intervals.
W data is col lected, in order to make sense of it, the data needs to be organised in a manner which shows the various values and the frequencies at which these values have occurred, that is the “pattern that the values form after they are organised” and this is called a distribution. A distribution guides how raw data can be converted into meaningful information and also influences the choice ...
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ژورنال
عنوان ژورنال: ScienceAsia
سال: 2013
ISSN: 1513-1874
DOI: 10.2306/scienceasia1513-1874.2013.39s.070