VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON PEAKS OVER THRESHOLD METHOD

Extreme Value Theory has a role in the risk management of a data loss, that is one of way for modeling and measuring extreme risk of a data loss. In this Final Project, application of Extreme Value Theory focused on the Peaks Over Threshold method. This method is applied to a data which have extreme...

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Main Author:	CICILIA PEMBAYUN NOVIANSISTA CORNELIS , FRANSISKA
Format:	Final Project
Language:	Indonesia
Online Access:	https://digilib.itb.ac.id/gdl/view/18520
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Institution:	Institut Teknologi Bandung
Language:	Indonesia

id	id-itb.:18520
spelling	id-itb.:185202017-09-27T11:43:12ZVALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON PEAKS OVER THRESHOLD METHOD CICILIA PEMBAYUN NOVIANSISTA CORNELIS , FRANSISKA Indonesia Final Project Extreme Value Theory, Generalized Pareto Distribution, Value-at-Risk, Expected Shortfall. INSTITUT TEKNOLOGI BANDUNG https://digilib.itb.ac.id/gdl/view/18520 Extreme Value Theory has a role in the risk management of a data loss, that is one of way for modeling and measuring extreme risk of a data loss. In this Final Project, application of Extreme Value Theory focused on the Peaks Over Threshold method. This method is applied to a data which have extreme loss. The type of distribution which used on data loss is Generalized Pareto Distribution. Extreme risk of data loss which has applied the Extreme Value Theory will be measured using Value-at-Risk and Expected Shortfall. The measurement results show that the risk of data loss which apply Extreme Value Theory can reach extreme risk of the data, while data loss which do not apply Extreme Value Theory can not. text
institution	Institut Teknologi Bandung
building	Institut Teknologi Bandung Library
continent	Asia
country	Indonesia Indonesia
content_provider	Institut Teknologi Bandung
collection	Digital ITB
language	Indonesia
description	Extreme Value Theory has a role in the risk management of a data loss, that is one of way for modeling and measuring extreme risk of a data loss. In this Final Project, application of Extreme Value Theory focused on the Peaks Over Threshold method. This method is applied to a data which have extreme loss. The type of distribution which used on data loss is Generalized Pareto Distribution. Extreme risk of data loss which has applied the Extreme Value Theory will be measured using Value-at-Risk and Expected Shortfall. The measurement results show that the risk of data loss which apply Extreme Value Theory can reach extreme risk of the data, while data loss which do not apply Extreme Value Theory can not.
format	Final Project
author	CICILIA PEMBAYUN NOVIANSISTA CORNELIS , FRANSISKA
spellingShingle	CICILIA PEMBAYUN NOVIANSISTA CORNELIS , FRANSISKA VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON PEAKS OVER THRESHOLD METHOD
author_facet	CICILIA PEMBAYUN NOVIANSISTA CORNELIS , FRANSISKA
author_sort	CICILIA PEMBAYUN NOVIANSISTA CORNELIS , FRANSISKA
title	VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON PEAKS OVER THRESHOLD METHOD
title_short	VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON PEAKS OVER THRESHOLD METHOD
title_full	VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON PEAKS OVER THRESHOLD METHOD
title_fullStr	VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON PEAKS OVER THRESHOLD METHOD
title_full_unstemmed	VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON PEAKS OVER THRESHOLD METHOD
title_sort	value-at-risk and expected shortfall based on peaks over threshold method
url	https://digilib.itb.ac.id/gdl/view/18520
_version_	1820745905780817920

VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON PEAKS OVER THRESHOLD METHOD

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