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  1. 1. Downside Risk Measurement of Thailand Equity Mutual Funds

    Magister-uppsats, Lunds universitet/Företagsekonomiska institutionen

    Författare :Hulda Sigmundsdóttir; Ploenpit Udomsapsanti; [2011]
    Nyckelord :Value at Risk; equity mutual funds; Thailand; student-t distribution; log-normal distribution; EWMA; volatility weighted historical; GARCH 1; 1 ; historical simulation; backtesting; Bernoulli; Kupiec; Christoffersen.; Management of enterprises; Företagsledning; management; Business and Economics;

    Sammanfattning : Abstract Value at Risk (VaR) is a simple, transparent and consistent measure that summarizes all sources of downside risk. VaR has gained acceptance in the banking industry in accordance to Basel II rules which require banks to use VaR in calculations of market risk. VaR as a risk measure is not as widely accepted in the investment industry. LÄS MER