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Multivariate Risk: From Univariate to High-Dimensional Graphical Models

Oldehed, Erik (2020) STAN40 20191
Department of Statistics
Abstract
We present a comparison of different univariate and multivariate extreme value risk models. Our focus is on exploring how these can be used to model financial risk. We use simulated as well as real data and compare deterministic and cross-validation threshold selection methods for the GP model to a GEV model. For comparison, we carry out a bivariate analysis using copulas. Finally, an undirected graphical lasso model using n=45 block maxima of the log-returns from 95 of the stocks in the FTSE 100 index is combined with copulas and PCA to model the extreme loss risk within the FTSE 100 index. The contribution of this study lies in exploring some ideas on risk models in multivariate high-dimensional settings.
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author
Oldehed, Erik
supervisor
organization
course
STAN40 20191
year
type
H1 - Master's Degree (One Year)
subject
keywords
Block Maxima, Mean Excess Plot, Tail Risk, Cross-Validation Threshold Selection, Graphical Lasso, Nonparanormal Distribution.
language
English
id
8996517
date added to LUP
2020-06-22 11:06:17
date last changed
2020-06-22 11:06:17
@misc{8996517,
  abstract     = {{We present a comparison of different univariate and multivariate extreme value risk models. Our focus is on exploring how these can be used to model financial risk. We use simulated as well as real data and compare deterministic and cross-validation threshold selection methods for the GP model to a GEV model. For comparison, we carry out a bivariate analysis using copulas. Finally, an undirected graphical lasso model using n=45 block maxima of the log-returns from 95 of the stocks in the FTSE 100 index is combined with copulas and PCA to model the extreme loss risk within the FTSE 100 index. The contribution of this study lies in exploring some ideas on risk models in multivariate high-dimensional settings.}},
  author       = {{Oldehed, Erik}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{Multivariate Risk: From Univariate to High-Dimensional Graphical Models}},
  year         = {{2020}},
}