Title page for etd-0628101-134615


[Back to Results | New Search]

URN etd-0628101-134615
Author Ling-Fung Li
Author's Email Address No Public.
Statistics This thesis had been viewed 5066 times. Download 2313 times.
Department Applied Mathematics
Year 2000
Semester 2
Degree Master
Type of Document
Language zh-TW.Big5 Chinese
Title Computing VaR via Nonlinear AR model with heavy tailed innovations
Date of Defense 2001-06-04
Page Count 47
Keyword
  • Heavy Tail distribution
  • stable distribution
  • Value at Risk
  • Threshold AR model
  • Abstract Many financial time series show heavy tail behavior. Such tail characteristic is important for risk management.
    In this research, we focus on the calculation of Value-at-Risk (VaR) for portfolios of financial assets. We consider nonlinear autoregressive models with heavy tail innovations to model the return.
    Predictive distribution of the return are used to compute the VaR of the portfolios of financial assets.
    Examples are also given to compare the VaR computed by our approach with those by other methods.
    Advisory Committee
  • Mong-Na Lo Huang - chair
  • Yueh H. Chen - co-chair
  • Mei-Hui Guo - advisor
  • Files
  • etd-0628101-134615.pdf
  • indicate accessible in a year
    Date of Submission 2001-06-28

    [Back to Results | New Search]


    Browse | Search All Available ETDs

    If you have more questions or technical problems, please contact eThesys