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

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

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...

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書目詳細資料
主要作者:	Reporen, Ruth-Ann G.
格式:	text
語言:	English
出版:	Animo Repository 2007
主題:	Financial risk management Extreme value theory Value distribution theory Stock exchanges—Philippines Stocks—Philippines Finance and Financial Management
在線閱讀:	https://animorepository.dlsu.edu.ph/etd_masteral/6532 https://animorepository.dlsu.edu.ph/context/etd_masteral/article/12696/viewcontent/CDTG004148_P__2_.pdf
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	De La Salle University
語言:	English

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