Název:
Rozdělení výší škod z operačního rizika
Překlad názvu:
Operational risk loss distributions
Autoři:
Krajňák, Tomáš ; Mazurová, Lucie (vedoucí práce) ; Pešta, Michal (oponent) Typ dokumentu: Bakalářské práce
Rok:
2012
Jazyk:
slo
Abstrakt: Operational risk in recent years has become an important part of banks, insurance companies and financial institutions. The proposed work deals with the distributions that best fit the loss severity from the operational risk and also describe their basic properties. Specifically, deals with the g-h distribution, its properties, moments, parameter estimations and tail behavior. There is also another method for high threshold estimation described in this text, the POT (Peaks over threshold). In conclusion, there is the procedure for estimating quantiles of g-h distribution by POT method presented including simulation example in which there are quantile values estimated using the POT method compared to the g-h distribution quantiles.