Essays about: "Value-at-Risk"

Showing result 6 - 10 of 242 essays containing the word Value-at-Risk.

1. 6. Capturing time variation within systemic risk estimation

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Christian Hovstadius; Baltsar Lindgren; [2023]
   Keywords : Systemic risk; CoVaR; State variables; Lasso; PCA; Business and Economics;

   Abstract : Systemic risk can be defined as the risk to the whole financial system. Financial institutions may contribute more or less to this risk, and measuring the systemic risk contributions of institutions is of central importance for regulators. READ MORE

3. 7. Multi-factor approximation : An analysis and comparison ofMichael Pykhtin's paper “Multifactor adjustment”

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

   Author : Michael Zanetti; Philip Güzel; [2023]
   Keywords : Credit risk; Value at Risk; Expected Shortfall; Monte Carlo simulation; Advanced Internal Rantings-Based models; Kreditrisk; Value at Risk; Expected Shortfall; Monte Carlo simulation; Advanced Internal Rantings-Based-modeller;

   Abstract : The need to account for potential losses in rare events is of utmost importance for corporations operating in the financial sector. Common measurements for potential losses are Value at Risk and Expected Shortfall. These are measures of which the computation typically requires immense Monte Carlo simulations. READ MORE

4. 8. Stochastic Optimization of Asset Management Project Portfolios: A Risk-Informed Approach

   University essay from KTH/Matematik (Avd.)

   Author : Sebastian Persson; Niklas Hansson; [2023]
   Keywords : Nuclear asset management; Risk-informed asset management; Portfolio optimization; Project selection; Knapsack problem; Monte Carlo simulation; Conditional Value at Risk; Tillgångsförvaltning; Riskinformerad tillgångsförvaltning; Portföljoptimering; Projekturval; Kappsäcksproblem; Monte Carlo simulering; Conditional Value at Risk;

   Abstract : Asset management within the nuclear industry has become an increasingly relevant topic as safety requirements have tightened and energy security has become more important. Asset management ensures performance and reliability in a nuclear facility by balancing costs, opportunities, and risks to get the most out of assets. READ MORE

5. 9. Forecasting Value-at-Risk and Expected Shortfall: A comparison of non- and parametric methods for crude oil amidst extreme volatility

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Otto Colbin; Yugam Sharma; [2023]
   Keywords : Value-at-Risk VaR ; Expected Shortfall ES ; Nonparametric estimation methods; Parametric estimation methods; Crude oil.; Business and Economics;

   Abstract : Practitioners primarily utilise nonparametric methods when estimating Value-at- Risk (VaR) and Expected Shortfall (ES) for computing capital requirements. However, various researchers assert that there are issues with those estimates, particularly amidst periods of market turmoil. READ MORE

6. 10. Calculating Value-at-Risk under the G-Normal distribution. : Applied with Swedish data.

   University essay from Uppsala universitet/Nationalekonomiska institutionen

   Author : Daniel Renvall Moberg; [2023]
   Keywords : ;

   Abstract : Value–at–Risk (VaR) since its birth at JPMorgan in the 1990s, has become widely adopted by first and foremost the financial industry, but in later days regulatory authorities as a way of calculating downside risk. The subject in hand has led to numerous attempts by both the industry as well as scholars to find the perfect settings to calculate VaR. READ MORE