ESTIMASI VALUE AT RISK DAN EXPECTED TAIL LOSS DENGAN GENERALIZED ASYMMETRIC STUDENT-T DISTRIBUTION UNTUK RETURN ASET TUNGGAL
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...
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| Main Authors: | , |
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| 格式: | Theses and Dissertations NonPeerReviewed |
| 出版: |
[Yogyakarta] : Universitas Gadjah Mada
2012
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| 主題: | |
| 在線閱讀: | 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 |
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| 總結: | 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 have
characteristic heavy tailed and asymmetric. So,Value at Risk and Expected Tail
Loss with Generalized Asymmetric Student-t Distribution give a good risk
estimation. |
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