Now showing items 1-2 of 2
Empirical Bayes estimation of the extreme value index in an ANOVA setting
(Stellenbosch : Stellenbosch University, 2014-04)
ENGLISH ABSTRACT: Extreme value theory (EVT) involves the development of statistical models and techniques in order to describe and model extreme events. In order to make inferences about extreme quantiles, it is necessary ...
Value at risk and expected shortfall : traditional measures and extreme value theory enhancements with a South African market application
(Stellenbosch : Stellenbosch University, 2013-12)
ENGLISH ABSTRACT: Accurate estimation of Value at Risk (VaR) and Expected Shortfall (ES) is critical in the management of extreme market risks. These risks occur with small probability, but the financial impacts could be ...