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This entry is from Winter semester 2016/17 and might be obsolete. No current equivalent could be found.

Extreme value theory
(dt. Extremwerttheorie)

Level, degree of commitment Specialization module, compulsory elective module
Forms of teaching and learning,
workload		 Lecture (3 SWS), recitation class (1 SWS),
180 hours (60 h attendance, 120 h private study)
Credit points,
formal requirements		 6 CP
Course requirement(s): Written or oral examination
Examination type: Successful completion of at least 50 percent of the points from the weekly exercises.
Language,
Grading		 German,
The grading is done with 0 to 15 points according to the examination regulations for the degree program M.Sc. Business Mathematics.
Duration,
frequency		 One semester,
Regularly alternating with other specialization modules
Person in charge of the module's outline Prof. Dr. Markus Bibinger

Contents

We introduce the basic stochastic extreme value theory, which investigates the behavior of extreme values (so-called ''outliers''), especially their asymptotic distributions. Important aspects will be extreme value distributions, the theorem by Fisher-Tippett, ''domain of attraction'', order statistics and point processes. Methods for statistical inference are discussed. In addition, applications of extreme value theory in financial risk management and for climate data are given as examples.


Qualification Goals

The students shall

  • acquire knowledge in the field of specialization of extreme value theory as a subfield of stochastics,
  • understand the differences between methods based on mean values or order statistics,
  • learn techniques for statistical analysis,
  • learn about interdisciplinary application possibilities, especially in risk management,
  • improve their communication skills in the recitation class.

Prerequisites

Translation is missing. Here is the German original:

Keine. Empfohlen werden die Kompetenzen, die in den Basismodulen, im Vertiefungsmodul Wahrscheinlichkeitstheorie und im Praktikum zur Stochastik vermittelt werden.


Applicability

The module can be attended at FB12 in study program(s)

When studying M.Sc. Business Mathematics, this module can be attended in the study area Specialization Modules.

The module can also be used in other study programs (export module).


Recommended Reading

  • Will be announced at the beginning of the course.



Please note:

This page describes a module according to the latest valid module guide in Winter semester 2016/17. Most rules valid for a module are not covered by the examination regulations and can therefore be updated on a semesterly basis. The following versions are available in the online module guide:

The module guide contains all modules, independent of the current event offer. Please compare the current course catalogue in Marvin.

The information in this online module guide was created automatically. Legally binding is only the information in the examination regulations (Prüfungsordnung). If you notice any discrepancies or errors, we would be grateful for any advice.