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

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...

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Main Author:	Yap, Voon Choong
Format:	Thesis
Published:	2004
Subjects:	LB2300 Higher Education
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id	my-mmu-ep.87
record_format	uketd_dc
spelling	my-mmu-ep.872014-12-09T07:26:32Z Development of Value at Risk(VaR) models with applications to Malaysian capital market 2004 Yap, Voon Choong LB2300 Higher Education 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). 2004 Thesis http://shdl.mmu.edu.my/87/ http://library.mmu.edu.my/diglib/onlinedb/dig_lib.php phd doctoral Multimedia University Faculty of Computing and Informatics
institution	Multimedia University
collection	MMU Institutional Repository
topic	LB2300 Higher Education
spellingShingle	LB2300 Higher Education Yap, Voon Choong Development of Value at Risk(VaR) models with applications to Malaysian capital market
description	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).
format	Thesis
qualification_name	Doctor of Philosophy (PhD.)
qualification_level	Doctorate
author	Yap, Voon Choong
author_facet	Yap, Voon Choong
author_sort	Yap, Voon Choong
title	Development of Value at Risk(VaR) models with applications to Malaysian capital market
title_short	Development of Value at Risk(VaR) models with applications to Malaysian capital market
title_full	Development of Value at Risk(VaR) models with applications to Malaysian capital market
title_fullStr	Development of Value at Risk(VaR) models with applications to Malaysian capital market
title_full_unstemmed	Development of Value at Risk(VaR) models with applications to Malaysian capital market
title_sort	development of value at risk(var) models with applications to malaysian capital market
granting_institution	Multimedia University
granting_department	Faculty of Computing and Informatics
publishDate	2004
_version_	1747829085108699136

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

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