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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Main Authors:	K. Chuangchid, K. Autchariyapanitkul, S. Sriboonchitta
Format:	Book Series
Published:	2018
Subjects:	Computer Science
Online Access:	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85012894524&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/57122
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Institution:	Chiang Mai University

id	th-cmuir.6653943832-57122
record_format	dspace
spelling	th-cmuir.6653943832-571222018-09-05T03:35:15Z The impact of extreme events on portfolio in financial risk management K. Chuangchid K. Autchariyapanitkul S. Sriboonchitta Computer Science © 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. 2018-09-05T03:35:15Z 2018-09-05T03:35:15Z 2017-02-01 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/6653943832/57122
institution	Chiang Mai University
building	Chiang Mai University Library
country	Thailand
collection	CMU Intellectual Repository
topic	Computer Science
spellingShingle	Computer Science K. Chuangchid K. Autchariyapanitkul S. Sriboonchitta The impact of extreme events on portfolio in financial risk management
description	© 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	K. Chuangchid K. Autchariyapanitkul S. Sriboonchitta
author_facet	K. Chuangchid K. Autchariyapanitkul S. Sriboonchitta
author_sort	K. Chuangchid
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	2018
url	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85012894524&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/57122
_version_	1681424819687522304

The impact of extreme events on portfolio in financial risk management

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