Value-at-risk modelling for the Malaysian stock exchange based on Monte Carlo simulation / Zatul Karamah Haji Ahmad Baharul-Ulum

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Value-at-risk modelling for the Malaysian stock exchange based on Monte Carlo simulation / Zatul Karamah Haji Ahmad Baharul-Ulum

This study puts forward Value-at-Risk (VaR) models based on Monte Carlo Simulation (MCS) that are integrated with several volatility representations to estimate the market risk for seven non-financial sectors traded on the first board of the Malaysian stock exchange which is now known as Bursa Malay...

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Bibliographic Details
Main Author:	Haji Ahmad Baharul-Ulum, Zatul Karamah
Format:	Thesis
Language:	English
Published:	2008
Subjects:	Financial management. Business finance. Corporation finance
Online Access:	https://ir.uitm.edu.my/id/eprint/15518/

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