Browsing Conference Papers by Subject "Value at Risk"

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    • Portfolio index risk estimation using Garch and VaR methods 

      Noor Azlinna, Azizan, Prof. Madya Dr.; Lee, Chia Kuang; Norhidayah, Abdull; Zenat, A.H. Abuzaid (Malaysian Technical Universities Network (MTUN), 2012-11-20)
      Portfolio managers around the world concerned with risk estimation because portfolio risk management is part of their decision-making process. Hull (2006, p. 435) notes, VaR is widely used by fund managers “to provide ...