Blar i UiS Brage på forfatter "Skretting, Per Kristian"
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Value at risk analysis by means of random orthogonal matrix simulation
Skretting, Per Kristian (Masteroppgave/UIS-TN-IØRP/2013;, Master thesis, 2013)Value at Risk analysis is a widespread measure in the banking sector and other financial institutions for controlling risk exposure in the market. The historic simulation approach is the market leader in the banking sector, ...