Sökning: "Generalized Pareto Distribution"

Visar resultat 11 - 15 av 26 uppsatser innehållade orden Generalized Pareto Distribution.

1. 11. Statistical Inference for Traffic Safety Analysis Using the Generalized Pareto Distribution

   Master-uppsats, Lunds universitet/Matematisk statistik

   Författare :Emilsson Sara; Filip Vestin; [2020]
   Nyckelord :Extreme value theory; traffic safety analysis; surrogate measure of safety; maximum likelihood; delta method; profile likelihood; modified profile likelihood.; Mathematics and Statistics;

   Sammanfattning : This thesis investigates the possibility of computing interval estimates for metrics that pertain to traffic safety based on surrogate measures of safety. A probabilistic model of the (near) crash count is defined using the generalized Pareto distribution and three different methods for calculating confidence intervals for the corresponding intensity parameter are proposed. LÄS MER

3. 12. Simulation-Based Portfolio Optimization with Coherent Distortion Risk Measures

   Master-uppsats, KTH/Matematisk statistik

   Författare :Andreas Prastorfer; [2020]
   Nyckelord :Risk Management; Portfolio Optimization; Conditional Value-at-Risk; Coherent Distortion Riks Measures; Elliptical Distribution; GARCH model; Normal Copulas; Extreme Value Theory; Risk Contributions; Riskhantering; Portföljoptimering; Conditional Value-at-Risk; Koherenta distortionsriskmått; Elliptiska fördelningar; GARCH modeller; Normal-copula; Extremvärdes teori; Riskbidrag;

   Sammanfattning : This master's thesis studies portfolio optimization using linear programming algorithms. The contribution of this thesis is an extension of the convex framework for portfolio optimization with Conditional Value-at-Risk, introduced by Rockafeller and Uryasev. LÄS MER

4. 13. Value at Risk and Expected Shortfall risk measures using Extreme Value Theory

   Magister-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Författare :Peter Johansson; [2019-01-22]
   Nyckelord :Extreme Value Theory; Generalized Pareto Distribution; Point-Over-Threshold method; risk measures; Value at Risk; Expected Shortfall;

   Sammanfattning : Calculating risk measures as Value at Risk (VaR) and Expected Shortfall (ES) has become popular for institutions and agents in financial markets. A main drawback with these risk measures is that they traditionally assume a specific distribution, as the Normal distribution or the Student’s t distribution. LÄS MER

5. 14. An Extreme Value Approach to Road Safety Analysis

   Master-uppsats, Lunds universitet/Matematisk statistik

   Författare :Johanna Lägnert; [2019]
   Nyckelord :Mathematics and Statistics;

   Sammanfattning : In this thesis we study the feasibility of applying extreme value theory to data regarding road safety. In particular, we propose a model for assessing the risk of collision and near collision using extreme value theory. LÄS MER

7. 15. An Extreme Value Approach To Pricing Credit Risk

   Master-uppsats, Lunds universitet/Matematisk statistik

   Författare :Sofia Landin; [2018]
   Nyckelord :Credit Risk; Credit Default Swap; Credit Valuation Adjustment; Extreme Value Theory; Generalized Extreme Value Distribution; Gumbel Distribution; Generalized Pareto Distribution; Block Maxima; Peak-over-Threshold; Probable Maximum Loss; Mathematics and Statistics;

   Sammanfattning : An Extreme Value Approach To Pricing Credit Risk will outline the possibility to investigate a company’s price of risk over different time periods given a pre-defined risk level. With help of credit default swap (CDS) prices and extreme value theory the credit risk can be estimated for different return levels. LÄS MER