Tid: 25 november 2002 kl 1615-1700
Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!
Föredragshållare: Andreas Johansson.
Titel: Using Extreme Value Theory to Estimate Tails of Operational Loss Distributions.
Sammanfattning: The analysis of operational losses in banks has during the last couple of years become increasingly important. This since banks will be required to hold capital to cover part of the losses. This thesis uses developments within the field of Extreme Value Theory (EVT) to make inference about the tails of operational loss distributions. Especially three issues are focused on; firstly, finding the most appropriate estimator for tails of operational loss distributions, secondly, applying that estimator to an operational loss database and thirdly, discussing how the results affect the amount of capital banks should hold to cover operational losses.