magistrsko delo
Zala Jamšek (Author), Tomaž Košir (Mentor)

Abstract

Modeliranje operativnega tveganja s teorijo ekstremnih vrednosti v odvisnosti od atributov

Keywords

operativno tveganje;teorija ekstremnih vrednosti;model preseganja mejne vrednosti;atributi;kaznovana funkcija verjetja;algoritem vnazajšnjega prileganja;

Data

Language: Slovenian
Year of publishing:
Typology: 2.09 - Master's Thesis
Organization: UL FMF - Faculty of Mathematics and Physics
Publisher: [Z. Jamšek]
UDC: 519.21
COBISS: 17207897 Link will open in a new window
Views: 822
Downloads: 349
Average score: 0 (0 votes)
Metadata: JSON JSON-RDF JSON-LD TURTLE N-TRIPLES XML RDFA MICRODATA DC-XML DC-RDF RDF

Other data

Secondary language: English
Secondary keywords: operational risk;extreme value theory;peaks-over-threshold model;covariates;penalized likelihood function;backfitting algorithm;
Type (COBISS): Master's thesis/paper
Thesis comment: Univ. v Ljubljani, Fak. za matematiko in fiziko, Oddelek za matematiko, Finančna matematika - 2. stopnja
Pages: 65 str.
ID: 10911044