A comparative-descriptive study of extreme value distributions using the extreme value VaR and crash option valuations on the Philippine stock market index from 1986 to 2006

• المؤلف الرئيسي: Reporen, Ruth-Ann G.
• التنسيق: text
• اللغة: English
• منشور في: Animo Repository 2007
• الموضوعات: Financial risk management; Extreme value theory; Value distribution theory; Stock exchanges—Philippines; Stocks—Philippines; Finance and Financial Management
• الوصول للمادة أونلاين: https://animorepository.dlsu.edu.ph/etd_masteral/6532; https://animorepository.dlsu.edu.ph/context/etd_masteral/article/12696/viewcontent/CDTG004148_P__2_.pdf

Assessing the Value at Risk of extreme events such as a stock market crash has been an important issue in the risk management of financial portfolios. Extreme Value Theory has provided the solid fundamentals needed for the statistical modeling of such events. Market crashes and other periods of high...