An empirical application of extreme value thoery to operational risk management

Giuli, Arianna (A.A. 2022/2023) An empirical application of extreme value thoery to operational risk management. Tesi di Laurea in Empirical finance, Luiss Guido Carli, relatore Giacomo Morelli, pp. 48. [Master's Degree Thesis]

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Abstract/Index

Model description. Introducing extreme value theory. The block maxima method. The peaks over threshold method. Introducing covariates. Penalized maximum likelihood estimation. The aggregate loss function. Empirical analysis. Data and methodology. Model fitting. Monte Carlo simulation. Copulas.

References

Bibliografia: pp. 38-41.

Thesis Type: Master's Degree Thesis
Institution: Luiss Guido Carli
Degree Program: Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56)
Chair: Empirical finance
Thesis Supervisor: Morelli, Giacomo
Thesis Co-Supervisor: Marzioni, Stefano
Academic Year: 2022/2023
Session: Autumn
Deposited by: Alessandro Perfetti
Date Deposited: 24 May 2024 14:18
Last Modified: 24 May 2024 14:18
URI: https://tesi.luiss.it/id/eprint/38679

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