Search Results - subject:"Extreme value theory"

Extreme Value at Risk and Expected Shortfall During Financial Crisis

Kourouma, Lancine - 2011

This paper presents Peak Over Threshold's method and the generalized Pareto distribution of extreme value theory to … day, 5 days and 10 days time horizons. The results of extreme value theory model are compared with those of traditional … process also indicates a certain reliability of the measure of Expected Shorfall based on the extreme value theory. For the …

Persistent link: https://www.econbiz.de/10013131260

Wavelet based outlier correction for power controlled turning point detection in surveillance systems

Li, Yushu - 2011

Persistent link: https://www.econbiz.de/10009272109

Value-at-risk estimation with wavelet-based extreme value theory: Evidence from emerging markets

Cifter, Atilla - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 12, pp. 2356-2367

This paper introduces wavelet-based extreme value theory (EVT) for univariate value-at-risk estimation. Wavelets and … value theory increases predictive performance of financial forecasting according to number of violations and tail-loss tests … distribution, and conditional generalized Pareto distribution models. The empirical results show that the wavelet-based extreme …

Persistent link: https://www.econbiz.de/10010591136

Measurement and quantification of operational risk an application of corvaritate-VaR

Rao, D. Tripati; Ghosh, Prodipta - In: Metamorphosis : a journal of management research 10 (2011) 2, pp. 70-81

Persistent link: https://www.econbiz.de/10010226937

Time-consistency of risk measures with GARCH volatilities and their estimation

Klüppelberg, Claudia; Zhang, Jianing - In: Statistics & Risk Modeling 32 (2016) 2, pp. 103-124

upper bounds to its time-consistent version. Furthermore, we incorporate techniques from extreme value theory (EVT) to allow …

Persistent link: https://www.econbiz.de/10014621242

Extreme value mixture models : are they able to cope with extreme insurance losses?

Laas, Daniela - In: Essays on capital regulation, insurance pricing, and …, (pp. 179-248). 2016

Diese Dissertation setzt sich aus vier Arbeiten zusammen, die Forschungsfragen bezüglich verschiedener Kernaufgaben von Versicherungsunternehmen betrachten: Das Pricing von Versicherungsprodukten, die Schätzung zukünftiger Schäden, das Management von Aktiva und Passiva und die Erfüllung der...

Persistent link: https://www.econbiz.de/10011544480