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extreme-value-statistics

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Scatter diagrams are typically available in the form of observation counts or normalised into frequencies. These classes of Python modules aim to perform long-term uncertainty modelling of sea state parameters in an automated fashion. The first class takes in the scatter diagram and fits model parameters using DNV recommended probability distrib…

  • Updated Nov 25, 2019
  • Jupyter Notebook

The repo contains the main topics carried out in my master's thesis on operational risk. In particular, it is described how to implement the so called Loss Distribution Approach (LDA), which is considered the state-of-the-art method to compute capital charge among large banks.

  • Updated Mar 4, 2021
  • R

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