Essays about: "Estimation Risk"

Showing result 21 - 25 of 346 essays containing the words Estimation Risk.

  1. 21. Peeking Through the Leaves : Improving Default Estimation with Machine Learning : A transparent approach using tree-based models

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

    Author : Elias Hadad; Angus Wigton; [2023]
    Keywords : Machine learning; Expected credit loss; Probability of default; ECL; PD; Risk Management; Credit Risk Management; Default Estimation; AI; Artificial intelligence; Fintech; Supervised learning; Decision tree; Random forest; XG boost; Transparency; Machine learning transparency;

    Abstract : In recent years the development and implementation of AI and machine learning models has increased dramatically. The availability of quality data paving the way for sophisticated AI models. Financial institutions uses many models in their daily operations. READ MORE

  3. 22. Estimation of flood risk and cost-effective mitigations : A case study in Tierp

    University essay from KTH/Hållbar utveckling, miljövetenskap och teknik

    Author : Anton Blomqvist; Stephanie The; [2023]
    Keywords : Flood risk assessment; EAD; CADSS; MIKE21;

    Abstract : Climate change is predicted to alter the rainfall patterns in the future, and extreme rain events with large rainfall volumes will become more frequent and intense which increases the flood risk. A clear trend can be seen, where more and more people decide to relocate from rural to urban areas. READ MORE

  4. 23. Optimal Portfolio Re-Balancing on Fixed Periods using a Cost/Risk Adaptation Model and Stochastic Optimization.

    University essay from Linköpings universitet/Produktionsekonomi

    Author : Max Ehn; Marcus Jämte; [2023]
    Keywords : Optimal portfolio re-balancing; optimal liquidation; minimize transaction costs; trading-volume estimation; stochastic optimization; Financial mathematics; tracking error; execution strategies; opportunity costs; liquidation costs; applied mathematics; PRIIP regulation; Swing-pricing;

    Abstract : In this thesis we investigate the problem of portfolio re-balancing for fixed periods using a cost/risk adaptation model and stochastic optimization. The cost/risk adaptation model takes theory of optimal liquidity costs and risk preference to build a universe in which we try to find better strategies than conventional ones. READ MORE

  5. 24. Adaptive Rolling Radius Estimation

    University essay from Linköpings universitet/Fordonssystem

    Author : Rickard Wretlind; William Wärn; [2023]
    Keywords : Rolling Radius; Estimation; Rolling Radius Estimation; Tire; Tires;

    Abstract : Tire tread health is essential for safe operation of a passenger vehicle. Worn out tires significantly increases the risk of traffic accidents and hydroplaning. This thesis investigates the possibility to detect tire tread wear by estimating the effective rolling radius of a tire. READ MORE

  6. 25. Copula approach to fitting bivariate time series

    University essay from Lunds universitet/Matematisk statistik

    Author : Jun Wang; [2023]
    Keywords : VaR; Copula; ARMA-GARCH; Extreme Value Theory; GPD; Hill estimator; Mathematics and Statistics;

    Abstract : We apply the GARCH-copula method to estimate Value at Risk (VaR) for European and Stockholm stock indices. First, marginal distributions are estimated by the ARMA-GARCH model with normal, Student-t, and skewed t distributions. READ MORE