Essays about: "Peaks Over Threshold"

Showing result 6 - 10 of 21 essays containing the words Peaks Over Threshold.

1. 6. Estimating expected shortfall using an unconditional peaks-over-threshold method under an extreme value approach

   University essay from Uppsala universitet/Statistiska institutionen

   Author : Rikard Wahlström; [2021]
   Keywords : expected shortfall; peaks-over-threshold; extreme value theory;

   Abstract : Value-at-Risk (VaR) has long been the standard risk measure in financial risk management. However, VaR suffers from critical shortcomings as a risk measure when it comes to quantifying the most severe risks, which was made especially apparent during the financial crisis of 2007–2008. READ MORE

3. 7. Extreme value modeling of wind effect on dune erosion on the Coast of ̈Angelholm

   University essay from Lunds universitet/Matematisk statistik

   Author : Lionel Arpin-Pont; [2020]
   Keywords : Erosion; Wind speed; Extreme value theory; Block maxima; Peaks over threshold; Copula; Husler-Reiss; Dependence function.; Mathematics and Statistics;

   Abstract : The movement of the coast line, due to erosion in one direction or aggregation in theother is a natural process as waves, wind as well as the geological nature of the coast itselfare affecting it. Sand dunes are the main protection coasts have at their disposal againstfloods during storm surges or from more passive but long range rainfalls. READ MORE

4. 8. A comparative study of VaR and ES using extreme value theory

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Klara Andersson; [2020]
   Keywords : extreme value theory; block maxima; peaks-over-threshold; backtesting; value-at-risk; expected shortfall; Business and Economics;

   Abstract : Using data from OMXS30, we study which of the models block maxima and peaks-over-threshold, based on extreme value theory, are the most accurate when estimating the risk measures Value-at-Risk and Expected Shortfall. To perform this analysis, the risk measures are backtested. READ MORE

5. 9. Estimating Expected Shortfall Using Parametric and Non-Parametric Approaches

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Fredrik Hedman; Emil Håkansson; [2020]
   Keywords : Value at Risk; Expected Shortfall; Normal distribution; t-distribution; Historical Simulation; Extreme Value Theory; Peaks Over Threshold; Business and Economics;

   Abstract : With the implementation of the Fundamental Review of the Trading Book in January of 2022, financial institutions will be obligated to implement Expected Shortfall as a means of determining market risk capital. With the transition from Value at Risk to Expected Shortfall, the question of how to accurately forecast Expected Shortfall arises. READ MORE

6. 10. 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