Essays about: "EVT"

Showing result 1 - 5 of 20 essays containing the word EVT.

  1. 1. Anomaly Detection in the EtherCAT Network of a Power Station : Improving a Graph Convolutional Neural Network Framework

    University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Author : Niklas Barth; [2023]
    Keywords : Unsupervised Learning; Multivariate Time Series; Graph Convolutional Neural Networks; Anomaly Detection; Industrial Control System; EtherCAT; Power Station; Electricity Grid;

    Abstract : In this thesis, an anomaly detection framework is assessed and fine-tuned to detect and explain anomalies in a power station, where EtherCAT, an Industrial Control System, is employed for monitoring. The chosen framework is based on a previously published Graph Neural Network (GNN) model, utilizing attention mechanisms to capture complex relationships between diverse measurements within the EtherCAT system. READ MORE

  3. 2. Forecasting Value-at-Risk and Expected Shortfall: A comparison of non- and parametric methods for crude oil amidst extreme volatility

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Otto Colbin; Yugam Sharma; [2023]
    Keywords : Value-at-Risk VaR ; Expected Shortfall ES ; Nonparametric estimation methods; Parametric estimation methods; Crude oil.; Business and Economics;

    Abstract : Practitioners primarily utilise nonparametric methods when estimating Value-at- Risk (VaR) and Expected Shortfall (ES) for computing capital requirements. However, various researchers assert that there are issues with those estimates, particularly amidst periods of market turmoil. READ MORE

  4. 3. Generating Extreme Value Distributions in Finance using Generative Adversarial Networks

    University essay from KTH/Matematik (Avd.)

    Author : William Nord-Nilsson; [2023]
    Keywords : 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;

    Abstract : 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. READ MORE

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

    University essay from Lunds universitet/Matematisk statistik

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

    Abstract : 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. READ MORE

  6. 5. Forecasting Exchange Rate Value-at-Risk and Expected Shortfall: A GARCH-EVT Approach

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Christoffer Titov; [2022]
    Keywords : GARCH; Extreme Value Theory; Value-at-Risk; Expected Shortfall; Exchange Rate Volatility; Business and Economics;

    Abstract : This thesis aims to investigate the accuracy of Value-at-Risk and Expected Shortfall forecasts of various GARCH-type models based on five currency exchange rate pairs. The GARCH models are employed under different conditional distributional assumptions, and extended using the two-stage Extreme Value Theory (EVT) approach of McNeil and Frey (2000). READ MORE