Essays about: "Peak-over-Threshold"

Showing result 1 - 5 of 8 essays containing the word Peak-over-Threshold.

  1. 1. Risk measurement of cryptocurrencies using value at risk and expected shortfall

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Van Cao Thi Hong; [2022]
    Keywords : cryptocurrencies; value at risk; expected shortfall; risk measurement; parametric methods; non-parametric methods; EWMA; GARCH; EGARCH; GJRGARCH; backtesting; Business and Economics;

    Abstract : Cryptocurrencies are highly volatile and risky assets, therefore, it is of vital importance to find an appropriate model for risk measurement. This thesis compares three parametric and three non-parametric estimation methods to estimate the value at risk and the expected shortfall of five cryptocurrencies, namely Bitcoin (BTC), Ethereum (ETH), Binance coin (BNB), Ripple coin (XRP), and Cardano (ADA). READ MORE

  3. 2. Traffic safety analysis by surrogate measures:an extreme value approach

    University essay from Lunds universitet/Matematisk statistik

    Author : Heidi Mach; [2022]
    Keywords : Mathematics and Statistics;

    Abstract : Road safety analyses are required for the prevention of road accident fatalities. In Europe, the ambition is "Vision Zero". Data that was used is collected by the research group Transport and Roads which is part of Department of Technology and Society at LTH, Lund University. READ MORE

  4. 3. 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

  5. 4. Measuring Financial Risks by Peak Over Threshold Method

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Bing Zhang; [2016]
    Keywords : Extreme Value Theory; Peak Over Threshold; Value at Risk; Expected Shortfall; Back-testing; GARCH 1; 1 ; Business and Economics;

    Abstract : Assessing the probability of rare and extreme events is an important issue in the risk management of financial portfolios. Extreme value theory provides the solid fundamentals needed for the statistical modelling of such events and the computation of extreme risk measures. READ MORE

  6. 5. Measuring Risk with Expected Shortfall

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Stacy Natasya Kuntjoro; Huan Liu; [2015]
    Keywords : risk measure; expected shortfall; value at risk; Basel III agreement; Business and Economics;

    Abstract : In 2012, The Basel Committee on Banking Supervision decided to change the standard risk measure from the well-known Value-at-Risk (VaR) to Expected Shortfal (ES). The committee believes that the new standard risk measure could offer more benefit, aside from just overcoming the major weaknesses of VaR like incoherency and inability to capture tail risk. READ MORE