ESTIMASI VALUE AT RISK DAN EXPECTED TAIL LOSS DENGAN GENERALIZED ASYMMETRIC STUDENT-T DISTRIBUTION UNTUK RETURN ASET TUNGGAL

• المؤلفون الرئيسيون: , ARIF AULIA RAHMAN, , Dr. rer nat. Dedi Rosadi, M.Sc.
• التنسيق: Theses and Dissertations NonPeerReviewed
• منشور في: [Yogyakarta] : Universitas Gadjah Mada 2012
• الموضوعات: ETD
• الوصول للمادة أونلاين: https://repository.ugm.ac.id/100622/; http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=57250
• المؤسسة: Universitas Gadjah Mada

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...