Development of Value at Risk(VaR) models with applications to Malaysian capital market

Yap, Voon Choong (2004) Development of Value at Risk(VaR) models with applications to Malaysian capital market. PhD thesis, Multimedia University.

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Official URL: http://library.mmu.edu.my/diglib/onlinedb/dig_lib....

Abstract

A simple transformation is used to transform the normally distributed random variable E to a random variable R such that the distribution of R has fatter tails and thinner waist than the normal distribution. The fat-tail distribution is shown to give a good fit to the data on return of single stock in the Kuala Lumpur Stock Exchange(KLSE).

Item Type: Thesis (PhD)
Subjects: L Education > LB Theory and practice of education > LB2300 Higher Education
Divisions: Faculty of Computing and Informatics (FCI)
Depositing User: Mr Shaharom Nizam Mohamed
Date Deposited: 04 Dec 2009 07:40
Last Modified: 09 Dec 2014 07:26
URI: http://shdl.mmu.edu.my/id/eprint/87

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