Sökning: "Extreme Value Theory"

Visar resultat 1 - 5 av 56 uppsatser innehållade orden Extreme Value Theory.

  1. 1. Avrinningskoefficienten – dess relation till regnintensitet och bidragskoefficienten utifrån fallstudier i södra Sverige

    Master-uppsats, Lunds universitet/Kemiteknik (CI)

    Författare :Therese Grönvall; Linnea Ek; [2018]
    Nyckelord :avrinningskoefficient; bidragskoefficient; ytavrinning; regnintensitet; water engineering; environmental engineering; avloppsteknik; vatten försörjningsteknik; Technology and Engineering;

    Sammanfattning : In order to increase the knowledge regarding how the runoff coefficient varies with increased rainfall intensity, a literature study and calculations in Excel were conducted. The background to how the tabled values of the runoff coefficient have been determined was found to be a book based on an assembly of answers to a survey collected from different companies in USA. LÄS MER

  2. 2. An Extreme Value Approach to Modeling Risk of Extreme Rainfall in Bangladesh

    Kandidat-uppsats, Lunds universitet/Matematisk statistik

    Författare :Emmy Andersson; Evelina Nilsson; [2018]
    Nyckelord :Mathematics and Statistics;

    Sammanfattning : The extreme value theory has been applied on daily rainfall in the five most exposed areas of Bangladesh between the years 1980-2016 in order to esti- mate extreme rainfalls for the next 10, 50 and 100 years. These types of computations are necessary for optimising planning and preparations for ex- treme future rainfalls which can lead to minimising property damage and ultimately saving lives. LÄS MER

  3. 3. Investigating usefulness of portfolio optimization with respect to prospect utility in financial advisory

    Master-uppsats, KTH/Matematisk statistik; KTH/Matematisk statistik

    Författare :William Brink; Christopher Furu; [2017]
    Nyckelord :;

    Sammanfattning : In this paper we derive and analyze the usefulness of a prospect theory based model for selecting optimal portfolios with respect to multiple investment goals. The focus is to determine whether or not the model would be suitable for the advisory process by investigating the result given by the optimal portfolio values and proportion in risky assets in continuous time. LÄS MER

  4. 4. The Performance of Market Risk Models for Value at Risk and Expected Shortfall Backtesting : In the Light of the Fundamental Review of the Trading Book

    Master-uppsats, KTH/Matematisk statistik

    Författare :Katja Dalne; [2017]
    Nyckelord :Risk Management; Financial Time Series; Value at Risk; Expected Shortfall; Monte Carlo Simulation; GARCH modeling; Copulas; Hybrid Distribution; Generalized Pareto Distribution; Extreme Value Theory; Backtesting; Liquidity Horizon; Basel regulation.;

    Sammanfattning : The global financial crisis that took off in 2007 gave rise to several adjustments of the risk regulation for banks. An extensive adjustment, that is to be implemented in 2019, is the Fundamental Review of the Trading Book (FRTB). LÄS MER

  5. 5. On Risk Analysis Of Extreme Sea Levels In Falsterbo Peninsula

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Kevin Persson; [2017]
    Nyckelord :Mathematics and Statistics;

    Sammanfattning : Coastal protection is vital for protecting infrastructure, coastal environments and human lives against flooding. Building ecient coastal protection requires a good understanding of maximum sea levels which might occur indifferent time periods in the future. Extreme value theory provides a mathematical framework for such analyses. LÄS MER


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