Please use this identifier to cite or link to this item: http://cmuir.cmu.ac.th/jspui/handle/6653943832/57122
Title: The impact of extreme events on portfolio in financial risk management
Authors: K. Chuangchid
K. Autchariyapanitkul
S. Sriboonchitta
Keywords: Computer Science
Issue Date: 1-Feb-2017
Abstract: © 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.
URI: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85012894524&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/57122
ISSN: 1860949X
Appears in Collections:CMUL: Journal Articles

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