Uç değerler teorisi ve bir bankacılık uygulaması

Özet

Bu çalışmada, az sıklıkta gerçekleşen ancak etkisi kuvvetli olan olayların ortaya çıkabilme

Abstract

Extreme value theory (EVT) is a tool used to consider probabilities associated with extremeand rare events. This paper is related with extreme events which usually appear with low frequentlybut high effects. It has been applied in various fields such as hydrology, as well as in studies ofpollution, meteorology but in recent years, it is mainly used in the financial areas. Generalconcepts of EVT is presented by a hypothetical case study. It is about fraud events in a Bank duringspecific time. This study aims to identify and fit the appropriate extreme value distribution to lossdata by using the method of Hill estimation technique.