Modeliranje operativnega tveganja s teorijo ekstremnih vrednosti v odvisnosti od atributov : magistrsko delo

Jamšek, Zala (author), Košir, Tomaž (mentor)

• Language: Slovenian
• Keywords: operativno tveganje, teorija ekstremnih vrednosti, model preseganja mejne vrednosti, atributi, kaznovana funkcija verjetja, algoritem vnazajšnjega prileganja
• Work type: Master's thesis/paper
• Typology: 2.09 - Master's Thesis
• Organization: FMF - Faculty of Mathematics and Physics
• Place of publishing: Ljubljana
• Publisher: [Z. Jamšek]
• Year: 2014
• Number of pages: 65 str.
• PID: 20.500.12556/RUL-96823
• UDC: 519.21
• COBISS.SI-ID: 17207897
• Publication date in RUL: 16.10.2017

Secondary language

• Language: English
• Keywords: operational risk, extreme value theory, peaks-over-threshold model, covariates, penalized likelihood function, backfitting algorithm