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

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...

ver descrição completa

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

Main Library: University Archives Division (UP Diliman)

Accession # Call # Volume/Part# Copy # Collection Circulation Type Circulation Status
UARD-12749D LG 996 2011 B9 / Q57 Room-use Only On-Shelf

UP Cesar E.A. Virata School of Business (UP Diliman)

Accession # Call # Volume/Part# Copy # Collection Circulation Type Circulation Status
BA-1042 LG 996 2011 B9 / Q57 Room-use Only On-Shelf
BA026879 LG 996 2011 B9 / Q57 Room-use Only On-Shelf