Tid: 14 juni 2002 kl 1015-1100 (OBS! Dag och tid!)

Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!

Föredragshållare: Benoit Riquet.

Titel: Elliptical distributions in risk management. (Examensarbete)


It is of great importance for risk managers to be able to model the log-returns of financial assets. Traditionally, these are assumed to have a multivariate normal distribution because of its interesting properties. However, this distribution is not able to capture all the phenomena observed in the financial world, such as extreme events (heavy-tails or large shocks that seem to occur simultaneously on the market for different assets). A natural extension of the multivariate normal distribution is the class of elliptical distributions. The latter share many properties with the multivariate normal distribution but can also catch extreme events. In this paper, we explore elliptical distributions, find and compare estimators of their parameters and derive a test for elliptical symmetry of a sample of data.

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