Assessing the Value Risk (VAR) for BSE Index consisting of 30 stocks by using various parametric, nonparametric and semiparametric models for estimating Value-at-Risk (VAR)
The objective of this report is to estimate Value-at-Risk (VAR) for Bombay Stock Exchange (BSE) Index consisting of 30 stocks for a single day and 5-day period using various methods of assessment and comment on the best estimate for VAR. In this report VAR theory and various models used to estimate...
| Main Author: | |
|---|---|
| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2008
|
| Online Access: | https://eprints.nottingham.ac.uk/22164/ |