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dc.contributor.authorK. Chuangchiden_US
dc.contributor.authorK. Autchariyapanitkulen_US
dc.contributor.authorS. Sriboonchittaen_US
dc.description.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.en_US
dc.subjectComputer Scienceen_US
dc.titleThe impact of extreme events on portfolio in financial risk managementen_US
dc.typeBook Seriesen_US
article.title.sourcetitleStudies in Computational Intelligenceen_US
article.volume692en_US Universityen_US Mai Universityen_US
Appears in Collections:CMUL: Journal Articles

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