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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

Detalhes bibliográficos
Autor principal: Quismorio, Brenda A. (Autor)
Outros Autores: Bautista, Carlos C. (adviser.)
Formato: Tese
Idioma:inglês
Assuntos:
Stock price indexes > Philippines.
Investment, Foreign > Philippines > Mathematical models.
Copulas (Mathematical statistics).
Extreme value theory.
Mathematical statistics.
Risk management.