Essays about: "Extreme Value Theory EVT"

Showing result 1 - 5 of 16 essays containing the words Extreme Value Theory 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. 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

4. 3. 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

5. 4. 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

6. 5. Value at Risk and Expected Shortfall risk measures using Extreme Value Theory

   University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

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

   Abstract : 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. READ MORE