A Measure of value-at-risk (VaR) for fat-tailed distributed Philippine stock index and Philippine portfolios with selected international stock indices an Extreme Value Theory (EVT) - Copula approach

Financial crises have shown the importance of having an accurate risk measurement that takes into account extreme losses. These crises reveal that risk management tools based on the averages and variances are inadequate in considering extreme losses. In addition, the traditional measure of the com...

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Bibliographic Details

Main Author:	Quismorio, Brenda A. (Author)
Other Authors:	Bautista, Carlos C. (adviser.)
Resource Type:	Thesis
Language:	English
Subjects:	Stock price indexes > Philippines. Investment, Foreign > Philippines > Mathematical models. Copulas (Mathematical statistics). Extreme value theory. Mathematical statistics. Risk management.