Quantification of VaR: A Note on VaR Valuation in the South African Equity Market
Year of publication: |
2015
|
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Authors: | Mabitsela, Lesedi ; Maré, Eben ; Kufakunesu, Rodwell |
Published in: |
Journal of Risk and Financial Management. - MDPI, Open Access Journal, ISSN 1911-8074. - Vol. 8.2015, 1, p. 103-126
|
Publisher: |
MDPI, Open Access Journal |
Subject: | Value-at-Risk | Normal Inverse Gaussian (NIG) | FTSE/JSE TOP40 index |
Extent: | application/pdf text/html |
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Type of publication: | Article |
Classification: | C - Mathematical and Quantitative Methods ; E - Macroeconomics and Monetary Economics ; F2 - International Factor Movements and International Business ; F3 - International Finance ; G - Financial Economics |
Source: |
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