Original title: Rozdělení výší škod z operačního rizika
Translated title: Operational risk loss distributions
Authors: Krajňák, Tomáš ; Mazurová, Lucie (advisor) ; Pešta, Michal (referee)
Document type: Bachelor's theses
Year: 2012
Language: slo
Abstract: 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.

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/40282

Permalink: http://www.nusl.cz/ntk/nusl-480658


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Universities and colleges > Public universities > Charles University > Charles University Faculties (theses)
Academic theses (ETDs) > Bachelor's theses