Essays about: "Erik Berggren"
Showing result 6 - 9 of 9 essays containing the words Erik Berggren.
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6. Are GARCH models necessary for Expected Shortfall?
University essay from Lunds universitet/Statistiska institutionenAbstract : Following the Basel Committee on Banking Supervision’s decision to move from Value at Risk to Expected Shortfall, risk managers will have to alter their methods for reporting risk. This paper sheds light on the question of which volatility models and distributional assumptions that works best for this new method of risk measurement by evaluating forecasts for the Swedish index OMXS30. READ MORE
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7. Improvement of Automotive Article Placement and Workload Distribution in Warehousing
University essay from Högskolan i Jönköping/Tekniska HögskolanAbstract : Purpose – The purpose is to: Improve the efficiency of warehouses operations as well as reduce its workload imbalances by altering the warehouse layout and work zones at a storage area. This was done by answering the following research questions: What is the current state of the sites efficiency and workload imbalances? How can the warehouse layout be designed to increase the efficiency? How can warehouse work zones be altered to reduce workload imbalances? Method – The purpose was achieved through a case study at a vehicle manufacturing facility. READ MORE
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8. Can FAVAR improve Swedish inflation forecasting?
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : The purpose of this thesis is to investigate whether factor augmented vectorautoregression (FAVAR) models estimated using principal component analysis are able to improve monthly inflation rate forecasts for Sweden. We produce 42 forecasts for the period January 2012 to June 2015 and evaluate the forecasts by their root mean square errors as well as their ability to correctly predict the sign of the inflation rate. READ MORE
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9. Which GARCH model is best for Value-at-Risk?
University essay from Uppsala universitet/Nationalekonomiska institutionenAbstract : The purpose of this thesis is to identify the best volatility model for Value-at-Risk(VaR) estimations. We estimate 1 % and 5 % VaR figures for Nordic indices andstocks by using two symmetrical and two asymmetrical GARCH models underdifferent error distributions. READ MORE