How Long to Read A Cauchy-Gaussian Mixture Model for Basel-compliant Value-at-Risk Estimation in Financial Risk Management

How Long Does it Take to Read A Cauchy-Gaussian Mixture Model for Basel-compliant Value-at-Risk Estimation in Financial Risk Management?

It takes the average reader 1 hour and 10 minutes to read A Cauchy-Gaussian Mixture Model for Basel-compliant Value-at-Risk Estimation in Financial Risk Management by Jingbo Li

Assuming a reading speed of 250 words per minute. Learn more

Description

In this thesis, we first investigate the goodness of fit for these two distributions using real-life stock returns and perform backtesting for the corresponding two VaR models under Basel II. Next, after we identify the weaknesses of the Normal and Cauchy distributions in quantifying market risk, we combine both models by fitting a new Cauchy-Normal mixture distribution to the historical data in a rolling time window. The method of Maximum Likelihood Estimation (MLE) is used to estimate the density function for this mixture distribution. Through a goodness of fit test and backtesting, we find...

How long is A Cauchy-Gaussian Mixture Model for Basel-compliant Value-at-Risk Estimation in Financial Risk Management?

A Cauchy-Gaussian Mixture Model for Basel-compliant Value-at-Risk Estimation in Financial Risk Management by Jingbo Li is 70 pages long, and a total of 17,500 words.

This makes it 24% the length of the average book. It also has 21% more words than the average book.

How Long Does it Take to Read A Cauchy-Gaussian Mixture Model for Basel-compliant Value-at-Risk Estimation in Financial Risk Management Aloud?

The average oral reading speed is 183 words per minute. This means it takes 1 hour and 35 minutes to read A Cauchy-Gaussian Mixture Model for Basel-compliant Value-at-Risk Estimation in Financial Risk Management aloud.

What Reading Level is A Cauchy-Gaussian Mixture Model for Basel-compliant Value-at-Risk Estimation in Financial Risk Management?

A Cauchy-Gaussian Mixture Model for Basel-compliant Value-at-Risk Estimation in Financial Risk Management is suitable for students ages 8 and up.

Note that there may be other factors that effect this rating besides length that are not factored in on this page. This may include things like complex language or sensitive topics not suitable for students of certain ages.

When deciding what to show young students always use your best judgement and consult a professional.

Where Can I Buy A Cauchy-Gaussian Mixture Model for Basel-compliant Value-at-Risk Estimation in Financial Risk Management?

A Cauchy-Gaussian Mixture Model for Basel-compliant Value-at-Risk Estimation in Financial Risk Management by Jingbo Li is sold by several retailers and bookshops. However, Read Time works with Amazon to provide an easier way to purchase books.

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