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

Detalles Bibliográficos
Autor principal:	Quismorio, Brenda A. (Autor)
Otros Autores:	Bautista, Carlos C. (adviser.)
Formato:	Tesis
Lenguaje:	inglés
Materias:	Stock price indexes > Philippines. Investment, Foreign > Philippines > Mathematical models. Copulas (Mathematical statistics). Extreme value theory. Mathematical statistics. Risk management.