00000ctm a22000004i 4500 UP-99796217610616116 Buklod 20130221133125.0 m |o d | ta 130221s2011 xx d r |||| u| (iLib)UPD-00194805951 DBUS rda eng DMLUC LG 996 2011 B9 Q57 Quismorio, Brenda A. author. 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 Brenda A. Quismorio ; Carlos C. Bautista, adviser. Quezon City College of Business Administration, University of the Philippines Diliman 2011. 98 leaves 28 cm text rdacontent unmediated rdamedia volume rdacarrier Thesis (Doctor of Philosophy in Business Administration)--University of the Philippines Diliman October 2011. 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 comovement of returns called. Stock price indexes Philippines. Investment, Foreign Philippines Mathematical models. Copulas (Mathematical statistics). Extreme value theory. Mathematical statistics. Risk management. Bautista, Carlos C. adviser. FI UP UPD DARCHIVES LG 996 2011 B9 Q57 UPD DBUS LG 996 2011 B9 Q57 Thesis