Essays about: "Tail index estimation"

Found 3 essays containing the words Tail index estimation.

1. 1. Copula selection and parameter estimation in market risk models

   University essay from KTH/Matematisk statistik

   Author : Carl Ljung; [2017]
   Keywords : ;

   Abstract : In this thesis, literature is reviewed for theory regarding elliptical copulas (Gaussian, Student’s t, and Grouped t) and methods for calibrating parametric copulas to sets of observations. Theory regarding model diagnostics is also summarized in the thesis. READ MORE

3. 2. Studying dynamics in risk-neutral skewness using a Gauss-Hermite expansion on S&P 500 index options

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Dennis Facius; Mohit Rakyan; [2017]
   Keywords : Options; Risk-neutral density; Gauss-Hermite expansion; Skewness;

   Abstract : Building on a new method of pricing options by modelling the underlying risk-neutral distribution with 'physicist' Hermite polynomials, we assess the properties of these distributions over time. We employ a set of S&P 500 index options ranging from 2007 to 2016. READ MORE

4. 3. Spurious Heavy Tails

   University essay from KTH/Matematisk statistik

   Author : Ted Segerfors; [2015]
   Keywords : Small samples; Tail index estimation; Normal mixture models; Heavy tails;

   Abstract : Since the financial crisis which started in 2007, the risk awareness in the financial sector is greater than ever. Financial institutions such as banks and insurance companies are heavily regulated in order to create a harmonic and resilient global economic environment. READ MORE