THE APPLICATION OF GUMBEL COPULA TO ESTIMATE VALUE AT RISK WITH BACKTESTING IN TELECOMMUNICATION STOCK

The Value at Risk (VaR) method refers to a statistical risk measurement tool used to determine the maximum loss of an investment, while the distribution that must be met is the normal distribution. This is not in line with the actual situation, because the distribution of the return value is found t...

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Bibliographic Details
Main Authors: Alimatun Najiha, Erna Tri Herdiani, Georgina Maria Tinungki
Format: Article
Language:English
Published: Universitas Pattimura 2023-04-01
Series:Barekeng
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Online Access:https://ojs3.unpatti.ac.id/index.php/barekeng/article/view/6953
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