Browsing by Subject "Value at risk"

Now showing items 1-3 of 3

    • Applying Conditional Value At Risk In Optimizing Portfolios 

      Vu, Hoang Anh Thu (2020)
      Value at Risk (VaR) & Conditional Value at Risk (CVaR) is a portfolio risk assessment method, but CVaR is a more accurate and advanced risk identification than VaR. In this thesis, we will briefly introduce VaR the ...

    • 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 ...

    • Forecasting Value At Risk With Long Short Term Memory (Lstm) 

      Kieu, Thi Quynh Nhu (2020)
      In consideration of the current financial situation, managing risk and forecasting losses play a vital role in financial investment. This thesis aims to apply Long Short Term Memory Model (LSTM) to forecast and estimate ...