Essays about: "Conditional VaR"

Showing result 1 - 5 of 69 essays containing the words Conditional VaR.

1. 1. Value at Risk Estimation using GARCH Family Models: A Comparison of Different Specifications and Distributions.

   University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Author : Khaled Jrideh; [2023-05-26]
   Keywords : ;

   Abstract : The objective of this study is to compare the performance of different GARCH models, under various conditional distribution assumptions, to predict one-day-ahead Value-at-Risk (VaR) for three stocks: Swedbank, Handelsbanken, and SEB over the Covid-19 period. The performance is evaluated using Kupiec, Christoffersen tests and the Quadratic Loss. READ MORE

3. 2. Data-Driven Reachability Analysis of Pedestrians Using Behavior Modes : Reducing the Conservativeness in Data-Driven Pedestrian Predictions by Incorporating Their Behavior

   University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

   Author : August Söderlund; [2023]
   Keywords : Data-driven reachability analysis; Autonomous vehicles; Automated safety; Autonomous situational awareness; Datadriven nåbarhetsanalys; Autonoma fordon; Automatiserad säkerhet; Autonom situationsmedvetenhet;

   Abstract : Predicting the future state occupancies of pedestrians in urban scenarios is a challenging task, especially considering that conventional methods need an explicit model of the system, hence introducing data-driven reachability analysis. Data-driven reachability analysis uses data, inherently produced by an unknown system, to perform future state predictions using sets, generally represented by zonotopes. READ MORE

4. 3. How does the Weakened Swedish Krona Impact the Inflation? A Bayesian VAR Analysis of Exchange Rate Pass-Through

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Ebba Wallin; [2023]
   Keywords : Exchange rate pass-through; Consumer price inflation; Frequency of price adjustment; Import price inflation; Bayesian vector autoregression; Business and Economics;

   Abstract : Exchange rate pass-through to prices differ depending on the underlying shock. Furthermore, the mechanisms causing inflation behave diversely, conditional on why the exchange rate fluctuates. This paper investigates how prices react relative to the exchange rate movements, i.e. READ MORE

5. 4. Finding Causal Relationships Among Metrics In A Cloud-Native Environment

   University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

   Author : Suresh Rishi Nandan; [2023]
   Keywords : Causality; Causal Discovery; Bayesian Network; Conditional Independence; Partial Correlation; Ensemble Causal Discovery; Anomaly Detection; Causal Graphs; Causality; Causal Discovery; Bayesian Network; Conditional Indeberoende; partiell korrelation; Ensemble Causal Discovery; Anomali Detektion; kausala grafer;

   Abstract : Automatic Root Cause Analysis (RCA) systems aim to streamline the process of identifying the underlying cause of software failures in complex cloud-native environments. These systems employ graph-like structures to represent causal relationships between different components of a software application. READ MORE

6. 5. Aggregation of Solar and Wind Power and its Impact on the Development of the Transmission Network : KTH Thesis Report

   University essay from KTH/Skolan för industriell teknik och management (ITM)

   Author : Emma Juserius; Filippa Ström; [2023]
   Keywords : Aggregation between solar and wind; Coincident factor; Correlation coefficient; Hybrid park; Smoothing effects; Solar PV; Wind power generation; Hybridpark; Korrelations koefficient; Sammanlagring av sol och vindkraft; Solkraft; Utjämnings effekt; Vindkraft;

   Abstract : Variable renewable energy (VRE) is becoming more present in the energy mix as society aims to shift power production from fossil fuels. Solar and wind power are VRE sources, which can result in fluctuations in the input to the network, creating supply uncertainty. READ MORE