ESTIMASI VALUE AT RISK DAN EXPECTED TAIL LOSS DENGAN GENERALIZED ASYMMETRIC STUDENT-T DISTRIBUTION UNTUK RETURN ASET TUNGGAL
| Main Authors: | , ARIF AULIA RAHMAN, , Dr. rer nat. Dedi Rosadi, M.Sc. |
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| Format: | Thesis NonPeerReviewed |
| Terbitan: |
[Yogyakarta] : Universitas Gadjah Mada
, 2012
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| Subjects: | |
| Online Access: |
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 |
Daftar Isi:
- 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.