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The Impact of Extreme Events on Portfolio in Financial Risk Management

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Robustness in Econometrics

Part of the book series: Studies in Computational Intelligence ((SCI,volume 692))

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Abstract

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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Acknowledgements

We are grateful to Prof. Dr. Hung T. Nguyen for his constructive comments and suggestions.

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Authors and Affiliations

  1. Faculty of Economics, Maejo University, Chiang Mai, 50290, Thailand

    K. Chuangchid & K. Autchariyapanitkul

  2. Faculty of Economics, Chiang Mai University, Chiang Mai, 52000, Thailand

    S. Sriboonchitta

Authors
  1. K. Chuangchid
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  2. K. Autchariyapanitkul
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  3. S. Sriboonchitta
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Corresponding author

Correspondence to K. Autchariyapanitkul .

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Editors and Affiliations

  1. Department of Computer Science, University of Texas at El Paso Department of Computer Science, El Paso, TX, USA

    Vladik Kreinovich

  2. Faculty of Economics, Chiang Mai University Faculty of Economics, Chiang Mai, Thailand

    Songsak Sriboonchitta

  3. Japan Adv. Inst. of Sci. & Tech. (JAIST) , Ishikawa, Japan

    Van-Nam Huynh

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Chuangchid, K., Autchariyapanitkul, K., Sriboonchitta, S. (2017). The Impact of Extreme Events on Portfolio in Financial Risk Management. In: Kreinovich, V., Sriboonchitta, S., Huynh, VN. (eds) Robustness in Econometrics. Studies in Computational Intelligence, vol 692. Springer, Cham. https://doi.org/10.1007/978-3-319-50742-2_42

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  • DOI: https://doi.org/10.1007/978-3-319-50742-2_42

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  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-50741-5

  • Online ISBN: 978-3-319-50742-2

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