Browsing Strathmore Institute of Mathematical Sciences (SIMs) by Subject "value-at-risk"

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    • Estimating value-at-risk using crash-metrics 

      Otao, Calvin Mochoge (Strathmore University, 2018)
      The purpose of this study is to estimate Value-at-Risk using Crash-Metrics, a methodology proposed by (Wilmott, 2006) while applying them in the Kenyan context. We compare the results from the Beta Parametric Value-at-Risk, ...