Development of Value at Risk(VaR) models with applications to Malaysian capital market

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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...

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Bibliographic Details
Main Author:	Yap, Voon Choong
Format:	Thesis
Published:	2004
Subjects:	LB2300 Higher Education
Online Access:	http://shdl.mmu.edu.my/87/

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