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Estimation of Conditional Value-at-Risk under Assets Liability Model with Non Constant Volatility

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Sukono Sukono Department of Mathemetics, Faculty of Mathematics and Natural Sciences, Universitas Padjadjaran
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Published in 8th Annual International Conference on Industrial Engineering and Operations Management, Bandung, Indonesia
Publisher IEOM Society International
Date of Conferences March 6–8, 2018
ISBN 978-1-5323-5944-6
ISSN/E-ISSN 2169-8767