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Value at Risk for Non-linear Portfolios with Non-normal Financial Returns
Company: McMaster University
Year Of Publication: 2002
Month Of Publication: September
Pages: 79
Download Count: 757
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Comment Num: 0
Language: EN
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Who Can Read: Free
Date: 7-30-2006
Publisher: Administrator
Summary
In this thesis, we will discusshow to estimate VaR for non-linear portfolios with non-normal financial returns, usingmultivariate student t distributions instead of normal distribution to solve the fattailedproblem and using delta-gamma approximation combined with copula modifiedMonte Carlo simulation.
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Zhang, Xuping Sign in to follow this author
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