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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| 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 |