Sökning: "Extreme Value Theory"

Visar resultat 6 - 10 av 93 uppsatser innehållade orden Extreme Value Theory.

  1. 6. Generating Extreme Value Distributions in Finance using Generative Adversarial Networks

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :William Nord-Nilsson; [2023]
    Nyckelord :Extreme Value Theory; Generative Adversarial Networks; Stress Testing; Machine Learning; Convolutional Neural Networks; evtGAN; Extreme Events; Extremvärdesteori; Generativa nätverk; Stresstestning; Maskininlärning; Djupt neuralt nätverk; evtGAN; Extrema händelser;

    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. 7. Risk Assessment of International Mixed Asset Portfolio with Vine Copulas

    Kandidat-uppsats, Linköpings universitet/Tillämpad matematik; Linköpings universitet/Tekniska fakulteten

    Författare :Axel Nilsson; [2022]
    Nyckelord :Vine Copulas; Extreme Value Theory; Financial Risk Management; Vine Copulas; Extremvärdesteori; Finansiell riskhantering;

    Sammanfattning : This thesis gives an example of assessing the risk of a financial portfolio with international assets, where the assets may be of different classes, by the use of Monte Carlo simulation and Extreme Value Theory. The simulation uses univariate modelling, models of the assets’ returns as stochastic processes, as well as vine copulas to create dependency between the variables. LÄS MER

  4. 8. How to Get Rich by Fund of Funds Investment - An Optimization Method for Decision Making

    Master-uppsats, Mälardalens universitet/Akademin för utbildning, kultur och kommunikation

    Författare :Sabina Colakovic; [2022]
    Nyckelord :Modern Portfolio Theory; Markowitz Model; Mean-Variance Optimization; Valueat-Risk; Conditional Value-at-Risk; Geometric Mean Return; Efficient Frontier; Portfolio Optimization; Markowitz 2.0;

    Sammanfattning : Optimal portfolios have historically been computed using standard deviation as a risk measure.However, extreme market events have become the rule rather than the exception. To capturetail risk, investors have started to look for alternative risk measures such as Value-at-Risk andConditional Value-at-Risk. LÄS MER

  5. 9. Estimation of severe crash frequency using two surrogates

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Zhankun Chen; [2022]
    Nyckelord :Multivariate Extreme Value distributions; Copula; Extreme Value Theory; Crash frequency; Surrogate Meausre of Safety; Road safety; Mathematics and Statistics;

    Sammanfattning : 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

  7. 10. ”MAN SER DET, MEN JAG TROR ATT MÅNGA BLUNDAR FÖR DET OCKSÅ, DET ÄR SKITJOBBIGT ATT TA DET” : En kvalitativ vinjettstudie om hur lärare på universitetsnivå bemöter socionomstudenter med extrema åsikter

    Kandidat-uppsats, Mälardalens universitet/Akademin för hälsa, vård och välfärd; Mälardalens universitet

    Författare :Reaam Kirnaui; Mayes Furaiji; Sandrine Badri; [2022]
    Nyckelord :Extrema åsikter; bemötande; socialt arbete; profession; socionomprogrammet;

    Sammanfattning : The main purpose of the study is to investigate teachers' treatment of students who express extreme beliefs. The study also intends to compare educators' treatment of students with right- and left-wing extreme views based on profession, level of education and possible professional experience. LÄS MER