Tid: 8 november 1999 kl 1615-1700

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

Föredragshållare: Mikael Däckfors

Titel: Extreme Value Theory Approach to Value-at-Risk with Applications to Market and Operational Risks. (Examensarbete)


We apply an Extreme Value Theory (EVT) approach to Value-at-Risk in order to analyse Operational risk, for which we only have data available from the tail, and Market risk. We show that for the Operational risk we cannot hope for a better Value-at-Risk measure with the EVT approach than with the standard approaches like the ones based on the Weibull and empirical distributions. However, for the Market risk it turns out that the EVT Value-at-Risk measure is "almost" always larger than the corresponding measure under the assumption of normally distributed assets returns.

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