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NTIS 바로가기응용통계연구 = The Korean journal of applied statistics, v.19 no.3, 2006년, pp.481 - 504
VaR, a tail-related risk measure is now widely used as a tool for a measurement and a management of financial risks. For more accurate measurement of VaR, recently we are particularly concerned about the approach based on extreme value theory rather than the traditional method based on the assumptio...
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