estimasi nilai conditional value at risk menggunakan fungsi gaussian copula
Article Quality & Performance Metrics
Readership in this journal
SteadyRanked #7 of 31 articles by views in brain: broad research in artificial intelligence and neuroscience
Bar heights use a square-root scale.
Mint this article as an NFT
Not yet mintedCreate a permanent, verifiable on-chain record of this article on the Scimatic Network. The NFT is held in your Journament account, and you can withdraw it to your own wallet at any time.
Abstract
Copula is already widely used in financial assets, especially in risk management. It is due to the ability of copula, to capture the nonlinear dependence structure on multivariate assets. In addition, using copula function doesn’t require the assumption of normal distribution. There fore it is suitable to be applied to financial data. To manage a risk the necessary measurement tools can help mitigate the risks. One measure that can be used to measure risk is Value at Risk (VaR). Although VaR is very popular, it has several weaknesses. To overcome the weakness in VaR, an alternative risk measure called CVaR can be used. The porpose of this study is to estimate CVaR using Gaussian copula. The data we used are the closing price of Facebook and Twitter stocks. The results from the calculation using 90% confidence level showed that the risk that may be experienced is at 4,7%, for 95% confidence level it is at 6,1%, and for 99% confidence level it is at 10,6%.
| Reference Key |
hidayati2015e-jurnalestimasi
Use this key to autocite in the manuscript while using
SciMatic Manuscript Manager or Thesis Manager
|
|---|---|
| Authors | ;HERLINA HIDAYATI;KOMANG DHARMAWAN;I WAYAN SUMARJAYA |
| Journal | brain: broad research in artificial intelligence and neuroscience |
| Year | 2015 |
| DOI |
DOI not found
|
| URL | |
| Keywords |
Citations
No citations found. To add a citation, contact the admin at info@scimatic.org
ZincirX productsfrom the team behind Journament
-
PatentYazar
Patent drafts for the EPO, USPTO and TürkPatent
From inventor notes to a DOCX draft: description, claims, abstract. The machine drafts, the attorney signs.
See how it works (opens in a new tab) -
Projenator
Have a project idea? Score and plan it with AI
AI scores your idea in five dimensions and builds a phased plan. Your first project is free, no card needed.
Start your first project (opens in a new tab)
Cookies
We use strictly necessary cookies to run the site and keep you signed in. With your permission we would also use Google Analytics to see how the site is used, and Google AdSense to show ads on journal and article pages. Both stay off unless you accept, and you can change your mind at any time. How we use cookies · KVKK notice (Türkiye)
Cookie settings
Comments
No comments yet. Be the first to comment on this article.