VALUE AT RISK ANALYSIS ON BLUE CHIP STOCKS PORTFOLIO WITH GAUSSIAN COPULA
Value at Risk (VaR) is a risk measurement tool to calculate the estimated maximum investment loss with a certain confidence level and period. VaR calculations using financial data are often not normally distributed, so the copula method is used, which is flexible on the assumption of normality on st...
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| Main Authors: | Tiffany Ardhitha, Evy Sulistianingsih, Neva Satyahadewi |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Universitas Pattimura
2023-09-01
|
| Series: | Barekeng |
| Subjects: | |
| Online Access: | https://ojs3.unpatti.ac.id/index.php/barekeng/article/view/9030 |
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