Sökning: "Extreme Value Theory"
Visar resultat 1 - 5 av 40 uppsatser innehållade orden Extreme Value Theory.
1. Investigating usefulness of portfolio optimization with respect to prospect utility in financial advisoryMaster-uppsats, KTH/Matematisk statistik; KTH/Matematisk statistik
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. The Performance of Market Risk Models for Value at Risk and Expected Shortfall Backtesting : In the Light of the Fundamental Review of the Trading BookMaster-uppsats, KTH/Matematisk statistik
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
- Master-uppsats, KTH/Matematisk statistik; KTH/Matematisk statistik
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
- Master-uppsats, Lunds universitet/Matematisk statistik
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
- Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen
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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