Sökning: "Richard Hermanson"

Hittade 1 uppsats innehållade orden Richard Hermanson.

  1. 1. Extreme value theory with Markov chain Monte Carlo - an automated process for EVT in finance

    Master-uppsats, KTH/Matematisk statistik

    Författare :Philip Bramstång; Richard Hermanson; [2015]
    Nyckelord :;

    Sammanfattning : The purpose of this thesis was to create an automated procedure for estimating financial risk using extreme value theory (EVT). The "peaks over threshold" (POT) result from EVT was chosen for modelling the tails of the distribution of financial returns. LÄS MER