Browsing Bachelor Thesis - Mathematics by Author "Thao, Nguyen Tran Ngoc"
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A copula approach to value at risk trade off and economic captital allocation
Thao, Nguyen Tran Ngoc (International University - HCMC, 2019)Value-at-risk (VaR) is known as the popular measurement for risk of loss in nance. Meanwhile, there are a lot of ways that can use to estimate VaR, such as historical simulation, the variance-covariance, and the Monte ...