The impact of extreme events on portfolio in financial risk management

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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書目詳細資料
Main Authors:	K. Chuangchid, K. Autchariyapanitkul, S. Sriboonchitta
格式:	Book Series
出版:	2018
主題:	Computer Science
在線閱讀:	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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