Sökning: "Valentin Kästner"

Hittade 1 uppsats innehållade orden Valentin Kästner.

  1. 1. On Modeling Operational Risk using Extreme Value Theory

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Valentin Kästner; [2016]
    Nyckelord :Mathematics and Statistics;

    Sammanfattning : The main goal of this thesis is to show how operational risk can be measured if even the use of standard extreme value theory fails to explain single catastrophic events in the tail of the distribution. Against the background of regulatory requirements imposed by the Basel Accords, an Advanced Measurement Approach (AMA) is developed for a dataset of operational losses occurred in US businesses between 1985 and 2008. LÄS MER