Development of Value at Risk(VaR) models with applications to Malaysian capital market
A simple transformation is used to transform the normally distributed random variable E to a random variable R such that the distribution of R has fatter tails and thinner waist than the normal distribution. The fat-tail distribution is shown to give a good fit to the data on return of single stock...
| Main Author: | |
|---|---|
| Format: | Thesis |
| Published: |
2004
|
| Subjects: | |
| Online Access: | http://shdl.mmu.edu.my/87/ |
| _version_ | 1848789421745242112 |
|---|---|
| author | Yap, Voon Choong |
| author_facet | Yap, Voon Choong |
| author_sort | Yap, Voon Choong |
| building | MMU Institutional Repository |
| collection | Online Access |
| description | A simple transformation is used to transform the normally distributed random variable E to a random variable R such that the distribution of R has fatter tails and thinner waist than the normal distribution. The fat-tail distribution is shown to give a good fit to the data on return of single stock in the Kuala Lumpur Stock Exchange(KLSE). |
| first_indexed | 2025-11-14T17:56:27Z |
| format | Thesis |
| id | mmu-87 |
| institution | Multimedia University |
| institution_category | Local University |
| last_indexed | 2025-11-14T17:56:27Z |
| publishDate | 2004 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | mmu-872014-12-09T07:26:32Z http://shdl.mmu.edu.my/87/ Development of Value at Risk(VaR) models with applications to Malaysian capital market Yap, Voon Choong LB2300 Higher Education A simple transformation is used to transform the normally distributed random variable E to a random variable R such that the distribution of R has fatter tails and thinner waist than the normal distribution. The fat-tail distribution is shown to give a good fit to the data on return of single stock in the Kuala Lumpur Stock Exchange(KLSE). 2004 Thesis NonPeerReviewed Yap, Voon Choong (2004) Development of Value at Risk(VaR) models with applications to Malaysian capital market. PhD thesis, Multimedia University. http://library.mmu.edu.my/diglib/onlinedb/dig_lib.php |
| spellingShingle | LB2300 Higher Education Yap, Voon Choong Development of Value at Risk(VaR) models with applications to Malaysian capital market |
| title | Development of Value at Risk(VaR) models with applications to Malaysian capital market |
| title_full | Development of Value at Risk(VaR) models with applications to Malaysian capital market |
| title_fullStr | Development of Value at Risk(VaR) models with applications to Malaysian capital market |
| title_full_unstemmed | Development of Value at Risk(VaR) models with applications to Malaysian capital market |
| title_short | Development of Value at Risk(VaR) models with applications to Malaysian capital market |
| title_sort | development of value at risk(var) models with applications to malaysian capital market |
| topic | LB2300 Higher Education |
| url | http://shdl.mmu.edu.my/87/ http://shdl.mmu.edu.my/87/ |