'Tail distribution' diaporamas de présentation

Week 10: VaR and GARCH model

Week 10: VaR and GARCH model. Estimation of VaR with Pareto tail. Disadvantages (parametric and nonparametric method): For parametric method: the assumption of normal distribution is always not true.

618 views • 41 slides

Risk Analysis & Modelling

Risk Analysis & Modelling. Lecture 10: Extreme Value Theory. http://www.angelfire.com/linux/lecturenotes. What we will learn in this lecture. We will look at a method for dealing specifically with infrequent, extreme events: EVT (Extreme Value Theory)

558 views • 37 slides

Chapter 6

368 views • 25 slides

Identification of Extreme Climate by Extreme Value Theory Approach

Identification of Extreme Climate by Extreme Value Theory Approach. Sutikno sutikno@statistika.its.ac.id. Statistics Department Faculty of Matematics and Natural Sciences Sepuluh November Institute of Techology Surabaya. Outline. Introduction.

426 views • 23 slides

Identification of Extreme Climate by Extreme Value Theory Approach

Identification of Extreme Climate by Extreme Value Theory Approach. Sutikno sutikno@statistika.its.ac.id. Statistics Department Faculty of Matematics and Natural Sciences Sepuluh November Institute of Techology Surabaya. Outline. Introduction.

394 views • 23 slides

Identification of Extreme Climate by Extreme Value Theory Approach

Identification of Extreme Climate by Extreme Value Theory Approach. Sutikno sutikno@statistika.its.ac.id. Statistics Department Faculty of Matematics and Natural Sciences Sepuluh November Institute of Techology Surabaya. Outline. Introduction.

350 views • 23 slides

Market Risk Measurement Models, Megastars and Myths

NGB/LNMB Seminar 14 Januari 2000. Market Risk Measurement Models, Megastars and Myths. Introduction by Theo Kocken Rabobank. Contents. Market Risk categories Techniques in practice (trading risk): Value at Risk incl. Extreme Value Theory Pitfalls Alternative: Creative Stress Modeling

287 views • 17 slides