Browsing by Author "Bao, Ta Quoc"
Now showing items 1-3 of 3
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A copula approach to value at risk trade off and economic captital allocation
Thao, Nguyen Tran Ngoc (International University - HCMC, 2019)Value-at-risk (VaR) is known as the popular measurement for risk of loss in nance. Meanwhile, there are a lot of ways that can use to estimate VaR, such as historical simulation, the variance-covariance, and the Monte ... -
A machine learning based approach for predicting upgrade of potential customers in banking sector
Nhi, Le Hoang Thu (International University - HCMC, 2019)Because of the outstanding growth in information, future predicting decisions about strategy development are extremely needed in each area. As a result, machine learning techniques have been used widely in bank- ing ... -
Value at risk analysis of options and bonds
Yen, Ha Thi Phi (International University - HCMC, 2019)This thesis aims to provide some methodology for estimating the Value-at-Risk (VaR) for options and bonds. We rst introduce a review of basic knowledge for stochastic calculus. Based on some de nitions of VaR, the ...