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Comparison Value at Risk with Extreme Value Theory
and Student distribution is explained and subsequently Extreme Value Theory. There are estimated value of given probability distribution and Extreme Value Theory. The data Value...
AH - Ekonomie
- 2013 •
- D
Rok uplatnění
D - Stať ve sborníku
Market Risk Management with the Usage of Extreme Value Theory and Copula Functions
Basic themes of document: Value at Risk; extreme value theory; copula functions; market risk management...
AH - Ekonomie
- 2006 •
- D
Rok uplatnění
D - Stať ve sborníku
Extreme value theory for operational risk in insurance: a case study
Main topics of the document: operational risk; extreme value theory; solvency capital requirement; value at risk; generalized extreme value distribution; bootstrapping......
Finance
- 2021 •
- Jimp •
- Link
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Jimp - Článek v periodiku v databázi Web of Science
Výsledek na webu
Determination of Value at Risk via Extreme Value Theory
Value at Risk and Expected Shortfall, under assumption of traditional distribution and via the Extreme Value Theory within Solvency II, ie. that the VaR Extreme Value Theory and its versi...
AH - Ekonomie
- 2011 •
- D
Rok uplatnění
D - Stať ve sborníku
Calculation of EVT using VaR
Basic themes of document: Value at Risk; market risk management; Extreme Value Theory...
AH - Ekonomie
- 2006 •
- D
Rok uplatnění
D - Stať ve sborníku
Extreme Value Theory Using Interval Censored Data: Case Study of Unemployment Duration in the Post-crisis Czech Republic
Main topics of the document: extreme value theory; survival analysis; quantile estimates; unemployment duration; Czech Republic......
BB - Aplikovaná statistika, operační výzkum
- 2015 •
- Jx •
- Link
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Výsledek na webu
Applications of Extreme Value Theory
Basic themes of document: Gumbel distribution; extrem value theoryWeibull distributions...
BB - Aplikovaná statistika, operační výzkum
- 2010 •
- D
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D - Stať ve sborníku
A Comparison of EVT and Standard VaR Estimations
Main topics of the document: risk measurement; value at risk; extreme value theory; GARCH; expected shortfall; backtesting......
AH - Ekonomie
- 2012 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Loss distribution approach with extreme value theory
The aim of this paper is to describe the standard Loss distribution approach (?LDA?) and its extended version with the Extreme value theory and apply both extended through an Extreme value theory ...
AH - Ekonomie
- 2008 •
- D
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D - Stať ve sborníku
Extreme Values in Time Series and Their Estimates
Extreme Value Theory still belong to developing areas of athematical statistics the Extreme Value Theory it follows that the extraordinary observations tend to cluster whereby the clusters are cha...
Statistics and probability
- 2019 •
- D
Rok uplatnění
D - Stať ve sborníku
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