Essays about: "Block Maxima"
Showing result 11 - 15 of 19 essays containing the words Block Maxima.
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11. An Extreme Value Approach To Pricing Credit Risk
University essay from Lunds universitet/Matematisk statistikAbstract : 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. READ MORE
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12. On Risk Analysis Of Extreme Sea Levels In Falsterbo Peninsula
University essay from Lunds universitet/Matematisk statistikAbstract : Coastal protection is vital for protecting infrastructure, coastal environments and human lives against flooding. Building ecient coastal protection requires a good understanding of maximum sea levels which might occur indifferent time periods in the future. Extreme value theory provides a mathematical framework for such analyses. READ MORE
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13. Extreme Value Theory Applied to Securitizations Rating Methodology
University essay from KTH/Matematisk statistikAbstract : One of today’s financial trends is securitization. Evaluating Securitization risk requires some strong quantitative skills and a deep understanding of both credit and market risk. For international securitization programs it is mandatory to take into account the exchange-rates-related risks. READ MORE
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14. Modelling Large Claims in Property and Home Insurance - Extreme Value Analysis
University essay from Lunds universitet/Matematisk statistikAbstract : It is of paramount interest for insurance companies to have an estimate of the probability of being exposed to extremely large claims that could render them directly insolvent or decrease the size of their regulatory capital to the point of non-viability. The difficulty with finding such an estimate is that extreme events are by definition rare and therefore difficult to model. READ MORE
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15. On Climate Change and Its Impact on Extreme Rainfall in Bangladesh
University essay from Lunds universitet/Matematisk statistikAbstract : In recent years extreme value distributions have attracted a fair amount of attention in literature for risk assessment based on climate data. This thesis focuses on modeling a series of rainfall data over 58 years in the period 1954-2012 recorded at five different stations in Bangladesh. READ MORE