Sökning: "Extreme Value Theory"

Visar resultat 1 - 5 av 40 uppsatser innehållade orden Extreme Value Theory.

  1. 1. 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

  2. 2. 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

  3. 3. Hierarchical clustering of market risk models

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

    Författare :Ludvig Pusek; Viktor Sonebäck; [2017]
    Nyckelord :;

    Sammanfattning : This thesis aims to discern what factors and assumptions are the most important in market risk modeling through examining a broad range of models, for different risk measures (VaR0.01, S0:01 and ES0:025) and using hierarchical clustering to identify similarities and dissimilarities between the models. LÄS MER

  4. 4. 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

  5. 5. Managing Risk with Energy Commodities using Value-at-Risk and Extreme Value Theory

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Alexander Noshkov; Zafer Demirtas; [2017]
    Nyckelord :Energy Commodities; Value-at-Risk VaR ; Extreme Value Theory EVT ; Peaks over Threshold POT ; Volatility Weighted Historical Simulation VWHS ; GARCH; EGARCH; TGARCH; Business and Economics;

    Sammanfattning : Today’s society requires an endless supply of energy resources to keep functioning properly. The fluctuations in the prices of energy commodities are always a concern as it affects not only investors, but regular households as well. LÄS MER


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