alexa Extreme Value Modelling for Measuring Financial Risk with Application to Selected Philippine Stocks | OMICS International| Abstract
ISSN: 2168-9679

Journal of Applied & Computational Mathematics
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  • Research Article   
  • J Appl Computat Math 2018, Vol 7(3): 404
  • DOI: 10.4172/2168-9679.1000404

Extreme Value Modelling for Measuring Financial Risk with Application to Selected Philippine Stocks

Velasco AAF* and Lapuz DKP
Department of Mathematics, De La Salle University, 2401 Taft Ave, Malate, Manila, 1004 Metro Manila, Philippines
*Corresponding Author : Velasco AAF, Department of Mathematics, De La Salle University, 2401 Taft Ave, Malate, Manila, 1004 Metro Manila, Philippines, Tel: 639266385740, Email: [email protected]

Received Date: Jul 10, 2018 / Accepted Date: Jul 16, 2018 / Published Date: Jul 23, 2018

Keywords: Extreme value theory; Generalized Pareto distribution; Peaks over threshold; Value at risk; Conditional value at risk; Return level; Backtesting

Citation: Velasco AAF, Lapuz DKP (2018) Extreme Value Modelling for Measuring Financial Risk with Application to Selected Philippine Stocks. J Appl Computat Math 7: 404. Doi: 10.4172/2168-9679.1000404

Copyright: © 2018 Velasco AAF, et al. This is an open-access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited.

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