Essays about: "Peaks Over Threshold"

Showing result 16 - 20 of 21 essays containing the words Peaks Over Threshold.

  1. 16. An empirical comparison of extreme value modelling procedures for the estimation of high quantiles

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Alexander Engberg; [2016]
    Keywords : extreme value analysis; peaks over threshold; generalized Pareto distribution; mixture models; folding procedure;

    Abstract : The peaks over threshold (POT) method provides an attractive framework for estimating the risk of extreme events such as severe storms or large insurance claims. However, the conventional POT procedure, where the threshold excesses are modelled by a generalized Pareto distribution, suffers from small samples and subjective threshold selection. READ MORE

  3. 17. Extreme value theory with Markov chain Monte Carlo - an automated process for EVT in finance

    University essay from KTH/Matematisk statistik

    Author : Philip Bramstång; Richard Hermanson; [2015]
    Keywords : ;

    Abstract : The purpose of this thesis was to create an automated procedure for estimating financial risk using extreme value theory (EVT). The "peaks over threshold" (POT) result from EVT was chosen for modelling the tails of the distribution of financial returns. READ MORE

  4. 18. Peaks-Over-Threshold Modelling of Environmental Data

    University essay from Uppsala universitet/Tillämpad matematik och statistik

    Author : Esther Bommier; [2014]
    Keywords : ;

    Abstract : .... READ MORE

  5. 19. Modeling Value-at-Risk(VaR) in a Small Sized Emerging Financial Market: Evidence from Botswana

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Ikanyeng Segonetso; Nayram Kodjo Mensah; [2014]
    Keywords : VaR; EVT; POT; Sub Saharan Africa; policy makers; Business and Economics;

    Abstract : Aim of the study: The objective of this study is to model VaR in a small sized rapidly developing financial market in Sub-Saharan Africa which has not only served as a haven for a number of foreign investors, but also has provided the best inflation adjusted returns. This market is of profound interest given that it has received limited attention from policy analysts and previous studies. READ MORE

  6. 20. Operational Risk Modeling:Theory and Practice

    University essay from KTH/Matematisk statistik

    Author : Johan Wahlström; [2013]
    Keywords : ;

    Abstract : This thesis studies the Loss Distribution Approach for modeling of Operational Risk under Basel II from a practical and general perspective. Initial analysis supports the use of the Peaks over Threshold method for modeling the severity distributions of individual cells. READ MORE