Essays about: "Extreme Value Theory"

Showing result 1 - 5 of 49 essays containing the words Extreme Value Theory.

  1. 1. Simulation-Based Portfolio Optimization with Coherent Distortion Risk Measures

    University essay from KTH/Matematisk statistik

    Author : Andreas Prastorfer; [2020]
    Keywords : Risk Management; Portfolio Optimization; Conditional Value-at-Risk; Coherent Distortion Riks Measures; Elliptical Distribution; GARCH model; Normal Copulas; Extreme Value Theory; Risk Contributions; Riskhantering; Portföljoptimering; Conditional Value-at-Risk; Koherenta distortionsriskmått; Elliptiska fördelningar; GARCH modeller; Normal-copula; Extremvärdes teori; Riskbidrag;

    Abstract : This master's thesis studies portfolio optimization using linear programming algorithms. The contribution of this thesis is an extension of the convex framework for portfolio optimization with Conditional Value-at-Risk, introduced by Rockafeller and Uryasev. READ MORE

  2. 2. 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

  3. 3. An Extreme Value Approach to Road Safety Analysis

    University essay from Lunds universitet/Matematisk statistik

    Author : Johanna Lägnert; [2019]
    Keywords : Mathematics and Statistics;

    Abstract : In this thesis we study the feasibility of applying extreme value theory to data regarding road safety. In particular, we propose a model for assessing the risk of collision and near collision using extreme value theory. READ MORE

  4. 4. An Extreme Value Approach to Modeling Risk of Extreme Rainfall in Bangladesh

    University essay from Lunds universitet/Matematisk statistik

    Author : Emmy Andersson; Evelina Nilsson; [2018]
    Keywords : Mathematics and Statistics;

    Abstract : The extreme value theory has been applied on daily rainfall in the five most exposed areas of Bangladesh between the years 1980-2016 in order to esti- mate extreme rainfalls for the next 10, 50 and 100 years. These types of computations are necessary for optimising planning and preparations for ex- treme future rainfalls which can lead to minimising property damage and ultimately saving lives. READ MORE

  5. 5. An Extreme Value Approach To Pricing Credit Risk

    University essay from Lunds universitet/Matematisk statistik

    Author : Sofia Landin; [2018]
    Keywords : Credit Risk; Credit Default Swap; Credit Valuation Adjustment; Extreme Value Theory; Generalized Extreme Value Distribution; Gumbel Distribution; Generalized Pareto Distribution; Block Maxima; Peak-over-Threshold; Probable Maximum Loss; Mathematics and Statistics;

    Abstract : 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