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...
محفوظ في:
| المؤلفون الرئيسيون: | , , |
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| التنسيق: | Book Series |
| منشور في: |
2018
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| الموضوعات: | |
| الوصول للمادة أونلاين: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85012894524&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/46702 |
| الوسوم: |
إضافة وسم
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| المؤسسة: | Chiang Mai University |
| الملخص: | © 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. |
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