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Empirical analysis of VaR and CVaR by the utilization of GARCH models and extreme value theory : evidence from Malaysian stock market /

Mohamed, Mohamed Amraja,

Empirical analysis of VaR and CVaR by the utilization of GARCH models and extreme value theory : evidence from Malaysian stock market / Mohamed Amraja Mohamed. - xvii, 283 pages : illustrations ; 30 cm.

Cd yang disertakan adalah duplikasi kepada tesis bercetak dan tidak boleh dirujuk/dipinjam.

Thesis (Ph.D.) - Universiti Kebangsaan Malaysia, 2013.

References : page [220]-236.

Subjects--Corporate Names:
Universiti Kebangsaan Malaysia--Dissertations.

Subjects--Topical Terms:
Dissertations, Academic--Malaysia.
Financial risk management--Simulation methods.
Finance--Mathematical models.
GARCH model.
Mathematical statistics.

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Empirical analysis of VaR and CVaR by the utilization of GARCH models and extreme value theory : evidence from Malaysian stock market /

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