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Accelerated testing with application in finance
Dissertation (MSc)--University of Pretoria, 2016.
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| Format: | Thesis |
| Language: | English |
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University of Pretoria
2017
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| _version_ | 1867613475033841664 |
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| access_status_str | Open Access |
| author2 | Loots, Mattheus Theodor |
| author_browse | Loots, Mattheus Theodor |
| author_facet | Loots, Mattheus Theodor |
| collection | Thesis |
| dc_rights_str_mv | © 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. |
| description | Dissertation (MSc)--University of Pretoria, 2016. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/60849 |
| institution | University of Pretoria (South Africa) |
| language | English |
| last_indexed | 2026-06-10T12:36:43.949Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2017 |
| publishDateRange | 2017 |
| publishDateSort | 2017 |
| publisher | University of Pretoria |
| publisherStr | University of Pretoria |
| record_format | dspace |
| source_str | UPSpace — University of Pretoria Institutional Repository |
| spelling | oai:repository.up.ac.za:2263/60849 Accelerated testing with application in finance Loots, Mattheus Theodor anel.oppel@gmail.com Beyers, Frederik Johannes Conradie Oppel, Anel UCTD Extreme value theory Accelerated test Life-stress link function Market capitalization Dissertation (MSc)--University of Pretoria, 2016. The 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. Statistics MSc Unrestricted 2017-06-05T12:12:06Z 2017-06-05T12:12:06Z 2017-04-21 2016 Dissertation Oppel, A 2016, Accelerated testing with application in finance, MSc Dissertation, University of Pretoria, Pretoria, viewed yymmdd <http://hdl.handle.net/2263/60849> A2017 http://hdl.handle.net/2263/60849 en © 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. application/pdf University of Pretoria |
| spellingShingle | UCTD Extreme value theory Accelerated test Life-stress link function Market capitalization Accelerated testing with application in finance |
| title | Accelerated testing with application in finance |
| title_full | Accelerated testing with application in finance |
| title_fullStr | Accelerated testing with application in finance |
| title_full_unstemmed | Accelerated testing with application in finance |
| title_short | Accelerated testing with application in finance |
| title_sort | accelerated testing with application in finance |
| topic | UCTD Extreme value theory Accelerated test Life-stress link function Market capitalization |
| url | http://hdl.handle.net/2263/60849 |