Essays about: "Extreme Value Theory"

Showing result 6 - 10 of 78 essays containing the words Extreme Value Theory.

1. 6. 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

3. 7. Risk Assessment of International Mixed Asset Portfolio with Vine Copulas

   University essay from Linköpings universitet/Tillämpad matematik; Linköpings universitet/Tekniska fakulteten

   Author : Axel Nilsson; [2022]
   Keywords : Vine Copulas; Extreme Value Theory; Financial Risk Management; Vine Copulas; Extremvärdesteori; Finansiell riskhantering;

   Abstract : This thesis gives an example of assessing the risk of a financial portfolio with international assets, where the assets may be of different classes, by the use of Monte Carlo simulation and Extreme Value Theory. The simulation uses univariate modelling, models of the assets’ returns as stochastic processes, as well as vine copulas to create dependency between the variables. READ MORE

4. 8. How to Get Rich by Fund of Funds Investment - An Optimization Method for Decision Making

   University essay from Mälardalens universitet/Akademin för utbildning, kultur och kommunikation

   Author : Sabina Colakovic; [2022]
   Keywords : Modern Portfolio Theory; Markowitz Model; Mean-Variance Optimization; Valueat-Risk; Conditional Value-at-Risk; Geometric Mean Return; Efficient Frontier; Portfolio Optimization; Markowitz 2.0;

   Abstract : Optimal portfolios have historically been computed using standard deviation as a risk measure.However, extreme market events have become the rule rather than the exception. To capturetail risk, investors have started to look for alternative risk measures such as Value-at-Risk andConditional Value-at-Risk. READ MORE

5. 9. 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. 10. 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