Title:

Wspomaganie informatyczne rozwoju społeczno-gospodarczego i ochrony środowiska * Projekty badawcze ministerstwa nauki i informatyzacji * Zastosowanie informatyki we wspomaganiu rozwoju społeczno-gospodarczego * Modelowanie zdarzeń ekstremalnych - nowa miara ryzyka

Subtitle:

Książka = Book ; KS/4/2004/T37R03P01

Creator:

Miklewski, Antoni

Publisher:

Instytut Badań Systemowych. Polska Akademia Nauk ; Systems Research Institute. Polish Academy of Sciences

Place of publishing:

Warszawa

Date issued/created:

2004

Description:

[5], 39-66 pages ; 21 cm ; Bibliography p. 64-66

Type of object:

Book/Chapter

Abstract:

In this paper we consider an Extreme Value Theory (EVT). The EVT developed as a counterpart of Value at Risk method (VaR). For this reason the EVT Models, POT and BMM models was coupled with the optimization and visualization tool EVIM within the MATLAB developing framework. Model input data are time series from Polish Stock Exchange (WIG). We compare aur outputs with other time series from various world stock exchanges.

Relation:

Książka = Book

Resource type:

Text

Detailed Resource Type:

Book

Source:

KS-2004-04-T37R03P01

Language:

pol

Language of abstract:

pol

Rights:

Creative Commons Attribution BY 4.0 license

Terms of use:

Copyright-protected material. [CC BY 4.0] May be used within the scope specified in Creative Commons Attribution BY 4.0 license, full text available at: ; -

Digitizing institution:

Systems Research Institute of the Polish Academy of Sciences

Original in:

Library of Systems Research Institute PAS

Projects co-financed by:

Operational Program Digital Poland, 2014-2020, Measure 2.3: Digital accessibility and usefulness of public sector information; funds from the European Regional Development Fund and national co-financing from the state budget.

Access:

Open