Sökning: "Extreme Value Theory"

Visar resultat 11 - 15 av 93 uppsatser innehållade orden Extreme Value Theory.

  1. 11. Forecasting Exchange Rate Value-at-Risk and Expected Shortfall: A GARCH-EVT Approach

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Christoffer Titov; [2022]
    Nyckelord :GARCH; Extreme Value Theory; Value-at-Risk; Expected Shortfall; Exchange Rate Volatility; Business and Economics;

    Sammanfattning : 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

  3. 12. Applying Peaks-Over-Threshold for Increasing the Speed of Convergence of a Monte Carlo Simulation

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Eric Jakobsson; Thor Åhlgren; [2022]
    Nyckelord :Monte Carlo Simulation; Value-at-Risk; Expected Shortfall; Peaks- Over-Threshold; Life Insurances; Generalized Pareto Distribution; Extreme-Value-Theory; Monte Carlo Simulation; Value-at-Risk; Expected Shortfall; Peaks-Over-Threshold; Livförsäkringar; Generalized Pareto Fördelning; Extremvärdesteori;

    Sammanfattning : This thesis investigates applying the semiparametric method Peaks-Over-Threshold on data generated from a Monte Carlo simulation when estimating the financial risk measures Value-at-Risk and Expected Shortfall. The goal is to achieve a faster convergence than a Monte Carlo simulation when assessing extreme events that symbolise the worst outcomes of a financial portfolio. LÄS MER

  4. 13. De skriver sekt - vad menar de egentligen? : en religionssociologisk studie av användningen av sektbegreppet i den efterföljande mediedebatten efter dokumentären ”De utvalda barnen”.

    Kandidat-uppsats, Uppsala universitet/Teologiska institutionen

    Författare :Camilla Helmersson; [2022]
    Nyckelord :Mediatization; Media logic; News value; Framing; Cult; New religious movements NRM ; Medialisering; Medielogik; Nyhetsvärde; Inramning; Sekt; Nya religiösa rörelser NRR ;

    Sammanfattning : In the beginning of 2021 the documentary “The selected children” was aired in one of the public Swedish television channels. In the film we follow the filmmaker as he returns to his elementary school that he left almost three decades ago. His memories where positive but the film depicts abuse with a focus on the leadership and a rope swing . LÄS MER

  5. 14. An Extreme Value Approach to Modelling Construction Defect Insurance Claims

    Kandidat-uppsats, Lunds universitet/Matematisk statistik

    Författare :Matilda Ekermann; Ida Swartling; [2022]
    Nyckelord :Extreme value theory; insurance; block-maxima; peaks over threshold; Poisson process; Mathematics and Statistics;

    Sammanfattning : Predicting future large claims, as well as the total cost, of a specific insurance is essential for insurance companies, for example when setting premium levels or purchasing reinsurance coverage. The purpose of this thesis is to investigate if extreme value theory can be applied to construction defect insurance claims. LÄS MER

  7. 15. Modelling Magnetism of hcp Iron under Earth’s Inner Core Conditions : Based on first-principle DFT calculations and Machine Learning

    Master-uppsats, Linköpings universitet/Teoretisk Fysik

    Författare :Linda Le; [2022]
    Nyckelord :Machine learning; Earth’s Inner Core; hcp Iron; Electronic structure magnetism; Density functional Theory; Local magnetic moments; Ab initio molecular dynamics; ASD-AIMD-MLLSF simulation;

    Sammanfattning : The structure of Earth’s core remains largely a mystery. The solid inner core is believed to exist in extreme pressure and temperature conditions comparable to 300 GPa and 6000 K and consists mainly of iron, Fe. LÄS MER