VaR 모형의 비교 : GARCH 모형과 확률변동성 모형을 중심으로A comparison of Value at Risk models : GARCH vs. stochastic volatility
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.advisor | 변석준 | - |
| dc.contributor.advisor | Byun, Suk-Joon | - |
| dc.contributor.author | 박형우 | - |
| dc.contributor.author | Park, Hyung-Woo | - |
| dc.date.accessioned | 2011-12-26T08:37:52Z | - |
| dc.date.available | 2011-12-26T08:37:52Z | - |
| dc.date.issued | 2003 | - |
| dc.identifier.uri | http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=181427&flag=dissertation | - |
| dc.identifier.uri | http://hdl.handle.net/10203/52159 | - |
| dc.description | 학위논문(석사) - 한국과학기술원 : 금융공학전공, 2003.2, [ v, 37 p. ] | - |
| dc.language | kor | - |
| dc.publisher | 한국과학기술원 | - |
| dc.subject | 확률변동성모형 | - |
| dc.subject | 일반화자기회귀조건부분산모형 | - |
| dc.subject | 위험관리 | - |
| dc.subject | 효율적 적률법 | - |
| dc.subject | efficient method of moments | - |
| dc.subject | stochastic volatility | - |
| dc.subject | GARCH | - |
| dc.subject | VaR | - |
| dc.title | VaR 모형의 비교 | - |
| dc.title.alternative | A comparison of Value at Risk models : GARCH vs. stochastic volatility | - |
| dc.type | Thesis(Master) | - |
| dc.identifier.CNRN | 181427/325007 | - |
| dc.description.department | 한국과학기술원 : 금융공학전공, | - |
| dc.identifier.uid | 020013745 | - |
| dc.contributor.localauthor | 변석준 | - |
| dc.contributor.localauthor | Byun, Suk-Joon | - |
| dc.title.subtitle | GARCH 모형과 확률변동성 모형을 중심으로 | - |
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