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- W2356350060 abstract "This paper applies the multivariate GARCH and Extreme Value Theory to construct asset portfolio risk measurement model.This paper applies multivariate GARCH to model covariance matrix of asset portfolio loss,and to calculate the standardized residual series of portfolio loss,and then applies EVT to model the extreme tail of standardized residual series,and measure portfolio dynamic extreme risk,at last,this paper applies Back-testing method to check the accuracy of the different risk models.Our result show that multivariate GARCH model can capture the time varying correlations of different losses effectively;the distribution of extreme tail is close to GPD;multivariate GARCH and EVT can measure the dynamic risk of asset portfolio accurately." @default.
- W2356350060 created "2016-06-24" @default.
- W2356350060 creator A5088507879 @default.
- W2356350060 date "2010-01-01" @default.
- W2356350060 modified "2023-09-28" @default.
- W2356350060 title "Study on Risk Measurement of Portfolio Based on Multivariate GARCH and Extreme Value Theory" @default.
- W2356350060 hasPublicationYear "2010" @default.
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