Zobrazeno 1 - 10
of 17
pro vyhledávání: '"Extremvärdesteori"'
Autor:
Nord-Nilsson, William
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 Val
Externí odkaz:
http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-328086
Autor:
Nord-Nilsson, William
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 Val
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______260::c4d32d7b678a4ee1cbe42463717aa57e
http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-328086
http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-328086
Autor:
Jakobsson, Eric, Åhlgren, Thor
This thesis investigates applying the semiparametric method Peaks-Over-Threshold on data generated from a Monte Carlo simulation when estimating the financial risk measures Value-at-Risk and Expected Shortfall. The goal is to achieve a faster converg
Externí odkaz:
http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-337078
Autor:
Nilsson, Axel
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 modelli
Externí odkaz:
http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-187833
Autor:
Barbouche, Tarek
One of today’s financial trends is securitization. Evaluating Securitization risk requires some strong quantitative skills and a deep understanding of both credit and market risk. For international securitization programs it is mandatory to take in
Externí odkaz:
http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-204640
Autor:
Haaf, Ezra
Syftet med detta examensarbete är att kunna beräkna sannolikheten av extrema grundvattennivåers återkomsttid. Detta är av betydelse för till exempel dimensionering av grundläggning när risken för hydraulisk bottenupptryckning eller skredrisk
Externí odkaz:
http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-170059
Autor:
Haaf, Ezra
Syftet med detta examensarbete är att kunna beräkna sannolikheten av extrema grundvattennivåers återkomsttid. Detta är av betydelse för till exempel dimensionering av grundläggning när risken för hydraulisk bottenupptryckning eller skredrisk
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______681::ba59ada2566e50be8121fb3b706fe9e8
http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-170059
http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-170059
Autor:
Klinga, Gustaf
This thesis investigates the overall risks of flooding over the Design Basis Flooding Level (DBFL) at the Swedish nuclear power plants (Oskarshamn, Ringhals and Forsmark), using statistical data and methods, but also considers historical events which
Externí odkaz:
http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-202157
Autor:
Rydell, Sofia
In this thesis the main purpose is to use extreme value theory and time series analysis to find modelsfor estimating the two risk measures for potential losses, value at risk and expected shortfall. Focus ison the time horizon needed to obtain predic
Externí odkaz:
http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-70291
Autor:
Klinga, Gustaf
This thesis investigates the overall risks of flooding over the Design Basis Flooding Level (DBFL) at the Swedish nuclear power plants (Oskarshamn, Ringhals and Forsmark), using statistical data and methods, but also considers historical events which
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::2fd5fcd9dbd4366828d45cf227b40a31
http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-202157
http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-202157