The impact of extreme events on portfolio in financial risk management
© Springer International Publishing AG 2017. We use the concept of copula and extreme value theory to evaluate the impact of extreme events such as flooding, nuclear disaster, etc. on the industry index portfolio. A t copulas based on GARCH model is applied to explain a portfolio risk management wit...
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th-cmuir.6653943832-408002017-09-28T04:11:30Z The impact of extreme events on portfolio in financial risk management Chuangchid K. Autchariyapanitkul K. Sriboonchitta S. © Springer International Publishing AG 2017. We use the concept of copula and extreme value theory to evaluate the impact of extreme events such as flooding, nuclear disaster, etc. on the industry index portfolio. A t copulas based on GARCH model is applied to explain a portfolio risk management with high-dimensional asset allocation. Finally, we calculate the condition Value-at-Risk (CVaR) with the hypothesis of t joint distribution to construct the potential frontier of the portfolio during the times of crisis. 2017-09-28T04:11:30Z 2017-09-28T04:11:30Z Book Series 1860949X 2-s2.0-85012894524 10.1007/978-3-319-50742-2_42 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85012894524&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/40800 |
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© Springer International Publishing AG 2017. We use the concept of copula and extreme value theory to evaluate the impact of extreme events such as flooding, nuclear disaster, etc. on the industry index portfolio. A t copulas based on GARCH model is applied to explain a portfolio risk management with high-dimensional asset allocation. Finally, we calculate the condition Value-at-Risk (CVaR) with the hypothesis of t joint distribution to construct the potential frontier of the portfolio during the times of crisis. |
| format |
Book Series |
| author |
Chuangchid K. Autchariyapanitkul K. Sriboonchitta S. |
| spellingShingle |
Chuangchid K. Autchariyapanitkul K. Sriboonchitta S. The impact of extreme events on portfolio in financial risk management |
| author_facet |
Chuangchid K. Autchariyapanitkul K. Sriboonchitta S. |
| author_sort |
Chuangchid K. |
| title |
The impact of extreme events on portfolio in financial risk management |
| title_short |
The impact of extreme events on portfolio in financial risk management |
| title_full |
The impact of extreme events on portfolio in financial risk management |
| title_fullStr |
The impact of extreme events on portfolio in financial risk management |
| title_full_unstemmed |
The impact of extreme events on portfolio in financial risk management |
| title_sort |
impact of extreme events on portfolio in financial risk management |
| publishDate |
2017 |
| url |
https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85012894524&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/40800 |
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1681421884336373760 |