Tid: 9 februari 2004 kl 1515-1600

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

Föredragshållare: Rahul Singh.

Titel: An Extreme Value Theory Approach for Measuring Tail Related Risk: Applied on Foreign Exchange Rates. (Examensarbete)

Sammanfattning: Many fields of modern science and engineering have to deal with events which are unusual but have significant consequences. Extreme value theory is a well thought-out tool to provide the basis for the statistical modelling of such extremes. Some of the most interesting questions that extreme value theory can answer are: What are the extreme movements that can be expected in financial markets? Have we already seen the largest ones or are we going to experience even larger movements? Are there theoretical processes that can model the type of fat tails which come out of our empirical analysis? These questions and potentials of extreme value theory applied to financial problems have only been recognized recently. This thesis aims at introducing the fundamentals of extreme value theory as well as practical aspects for estimating and assessing statistical models for tail-related risk measures.

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