Accelerated testing with application in finance

dc.contributor.advisorLoots, Mattheus Theodoren
dc.contributor.coadvisorBeyers, Frederik Johannes Conradieen
dc.contributor.emailanel.oppel@gmail.comen
dc.contributor.postgraduateOppel, Anelen
dc.date.accessioned2017-06-05T12:12:06Z
dc.date.available2017-06-05T12:12:06Z
dc.date.created2017-04-21en
dc.date.issued2016en
dc.descriptionDissertation (MSc)--University of Pretoria, 2016.en
dc.description.abstractThe event of a default for low-default portfolios, such as sovereign debt or banks, have received much attention as a result of the increasing instabilities in financial markets. The lack of sufficient default information on low-default portfolios complicates the protection of such portfolios. Default protections have typically, in the past, relied on extreme value theory and reporting the value at risk. The focus here, is the application of an engineering concept, accelerated test techniques, to the problem of insufficient data on low-default portfolios. In the application, high-default portfolios serve as stressed cases of low-default portfolios. Since high-default portfolios have more data available, viewing it as a stressed case of a low-default portfolio enables us to extrapolate the data to the low-default portfolio environment, and do estimation such as estimating the default probability for a low-default portfolio. The flexible framework through which the above is achieved, is provided.en_ZA
dc.description.availabilityUnrestricteden
dc.description.degreeMScen
dc.description.departmentStatisticsen
dc.identifier.citationOppel, A 2016, Accelerated testing with application in finance, MSc Dissertation, University of Pretoria, Pretoria, viewed yymmdd <http://hdl.handle.net/2263/60849>en
dc.identifier.otherA2017en
dc.identifier.urihttp://hdl.handle.net/2263/60849
dc.language.isoenen
dc.publisherUniversity of Pretoriaen
dc.rights© 2017 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria.en
dc.subjectUCTDen
dc.subjectExtreme value theoryen
dc.subjectAccelerated testen
dc.subjectLife-stress link functionen
dc.subjectMarket capitalizationen
dc.titleAccelerated testing with application in financeen
dc.typeDissertationen

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