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

Bibliografiske detaljer
Hovedforfatter:	Quismorio, Brenda A. (Author)
Andre forfattere:	Bautista, Carlos C. (adviser.)
Format:	Thesis
Sprog:	engelsk
Fag:	Stock price indexes > Philippines. Investment, Foreign > Philippines > Mathematical models. Copulas (Mathematical statistics). Extreme value theory. Mathematical statistics. Risk management.