Essays about: "Historical data and monte carlo simulation"
Showing result 1 - 5 of 10 essays containing the words Historical data and monte carlo simulation.
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1. A comparison of the Basel III capital requirement models for financial institutions
University essay from Lunds universitet/Matematisk statistikAbstract : The purpose of this report is to implement and compare the two Basel III standard methods on how to calculate the capital requirement for finan- cial institutions, related to counterparty credit risk. The models being the Standardized Approach for Counterparty Credit Risk (SA-CCR) and the Internal Model Method (IMM). READ MORE
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2. Coastal Response to Sea Level Rise in Ystad Municipality
University essay from Lunds universitet/Avdelningen för Teknisk vattenresursläraAbstract : The globally accelerating sea-level rise poses a problem in coastal areas through, e.g., the erosion of sandy beaches. Due to this, buildings, infrastructure, and other values can be lost, making the future shoreline position important to project in coastal management. READ MORE
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3. The potential of wind power on the Swedish ancillary service markets
University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)Abstract : An increasing proportion of variable renewable energy in the Swedish power system is leading to greater needs of system flexibility. A key aspect of handling this is frequency flexibility where actors can either increase or decrease their production or consumption when required. READ MORE
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4. Value at Risk Estimation with Neural Networks: A Recurrent Mixture Density Approach
University essay from KTH/Matematik (Avd.)Abstract : In response to financial crises and opaque practices, governmental entities and financial regulatory bodies have implemented several pieces of legislature and directives meant to protect investors and increase transparency. Such regulations often impose strict liquidity requirements and robust estimations of the risk borne by a financial firm at any given time. READ MORE
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5. Applying Technical Trading Rules to Evaluate Weak-form Efficiency on the Swedish Stock Market
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : Under the theory of weak-form market efficiency, present day stock prices reflect all historical data. As a result, the use of technical analysis should not be able to outperform a buy-and-hold strategy of a general market index. READ MORE