Essays about: "Estimation Risk"

Showing result 16 - 20 of 346 essays containing the words Estimation Risk.

1. 16. Credit scoring using Logistic regression

   University essay from Mälardalens universitet/Akademin för utbildning, kultur och kommunikation

   Author : Iftho Hara Khanam; [2023]
   Keywords : Kurtosis; Skewness; Winsorization; Logistic regression analysis; Maximum likelihood estimation; Newton–Raphson method; T–ratio test; P-value; LR test;

   Abstract : In this thesis, we present the use of logistic regression method to develop a credit scoring modelusing the raw data of 4447 customers of a bank. The data of customers is collected under 14independent explanatory variables and 1 default indicator. The objective of this thesis is toidentify optimal coefficients. READ MORE

3. 17. Irradiation Embrittlement on a Core Shroud from Decommissioned BWR

   University essay from KTH/Fysik

   Author : Åsa Bjåland; [2023]
   Keywords : hardness; Vickers hardness test; ATT; yield strength; irradiation embrittlement; welds; hårdhet; Vickers hårdhetstest; ATT; sträckgräns; bestrålningsförsprödning; svetsar;

   Abstract : Irradiation embrittlement is a problematic issue for internal structures, such as acore shroud, in a light water reactor. It is characterized by decreased ductility andtoughness, and increased yield strength and hardening due to increased dislocations. READ MORE

4. 18. Into the Trading Book: Estimating Expected Shortfall

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Robin Eric Schmutz; Leonard Schneider; [2023]
   Keywords : Expected shortfall; Trading book; Historical simulation; Parametric estimation; Backtesting; Business and Economics;

   Abstract : In light of the revised 2019 proposals constituting the Fundamental Review of the Trading Book, which amend the third Basel Accord, expected shortfall is set to replace value at risk as the risk measure dictating banks' capital reserving requirements for exposure to market risk. This paper examines how best to accurately estimate expected shortfall from a regulatory perspective by carrying out an array of non-parametric as well as parametric methods over the recent years of financial instability. READ MORE

5. 19. Exploring the Dynamics of Damage Costs Inflation on Insurance Matters : An In-depth Regression Analysis on Macroeconomic Variables

   University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

   Author : Jacob Liljestrand; Fredrik Nyberg; [2023]
   Keywords : Inflation; Time lag; Regression; Macroeconomic variables; Insurance;

   Abstract : The aim of this thesis consist of three parts. Firstly, the aim was to developan accurate historical inflation index suitable for the insurance business, usinginformation about insurance matters. The calculated inflation index was compared to an in-house benchmark at the insurance company Gjensidige, it wasfound to be a good match. READ MORE

6. 20. Portfolio Optimization Problems with Transaction Costs

   University essay from KTH/Skolan för teknikvetenskap (SCI)

   Author : Stina Gustavsson; Linnéa Gyllberg; [2023]
   Keywords : Portfolio optimization; variable transaction costs; fixed transaction costs;

   Abstract : Portfolio theory is a cornerstone of modern finance, and it is based on the idea that an investor can reduce risk by diversifying their investments across various assets. In practice, Harry Markowitz mean-variance optimization theory is expanded upon by taking into account variable and fixed transaction cost, making the model slightly more reliable. READ MORE