Sökning: "Extreme Value Theory EVT"
Visar resultat 1 - 5 av 17 uppsatser innehållade orden Extreme Value Theory EVT.
1. Anomaly Detection in the EtherCAT Network of a Power Station : Improving a Graph Convolutional Neural Network Framework
Master-uppsats, KTH/Skolan för elektroteknik och datavetenskap (EECS)Sammanfattning : In this thesis, an anomaly detection framework is assessed and fine-tuned to detect and explain anomalies in a power station, where EtherCAT, an Industrial Control System, is employed for monitoring. The chosen framework is based on a previously published Graph Neural Network (GNN) model, utilizing attention mechanisms to capture complex relationships between diverse measurements within the EtherCAT system. LÄS MER
2. Generating Extreme Value Distributions in Finance using Generative Adversarial Networks
Master-uppsats, KTH/Matematik (Avd.)Sammanfattning : This thesis aims to develop a new model for stress-testing financial portfolios using Extreme Value Theory (EVT) and General Adversarial Networks (GANs). The current practice of risk management relies on mathematical or historical models, such as Value-at-Risk and expected shortfall. LÄS MER
3. Estimation of severe crash frequency using two surrogates
Master-uppsats, Lunds universitet/Matematisk statistikSammanfattning : This thesis is concerned with the estimation of crash frequency based on the bivariate modeling of surrogate measures of safety (SMoS), which serve as indicators for traffic risk. Using the SMoS, any traffic conflict between two road users can be described by their proximity together with their hypothetical consequence. LÄS MER
4. Forecasting Exchange Rate Value-at-Risk and Expected Shortfall: A GARCH-EVT Approach
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : This thesis aims to investigate the accuracy of Value-at-Risk and Expected Shortfall forecasts of various GARCH-type models based on five currency exchange rate pairs. The GARCH models are employed under different conditional distributional assumptions, and extended using the two-stage Extreme Value Theory (EVT) approach of McNeil and Frey (2000). LÄS MER
5. Value at Risk and Expected Shortfall risk measures using Extreme Value Theory
Magister-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistikSammanfattning : Calculating risk measures as Value at Risk (VaR) and Expected Shortfall (ES) has become popular for institutions and agents in financial markets. A main drawback with these risk measures is that they traditionally assume a specific distribution, as the Normal distribution or the Student’s t distribution. LÄS MER