Essays about: "Forecast Risk"

Showing result 1 - 5 of 127 essays containing the words Forecast Risk.

  1. 1. Forecasting Volatility of Electricity Intraday Log Returns with Generalized Autoregressive Score Models

    University essay from Göteborgs universitet/Graduate School

    Author : Gustav Veres; Philip Ahlfridh; [2023-06-29]
    Keywords : ;

    Abstract : We forecast volatility of electricity intraday log returns with Generalized Autoregressive Score (GAS) models. We extend our GAS models with variables representing the difference between the public’s expectation of weather and energy load and the actual outcome using a restricted ARMA(4,4) model. READ MORE

  3. 2. Volatility Modelling in the Swedish and US Fixed Income Market : A comparative study of GARCH, ARCH, E-GARCH and GJR-GARCH Models on Government Bonds

    University essay from Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

    Author : Sebastian Mortimore; William Sturehed; [2023]
    Keywords : GARCH; ARCH; GJR-GARCH; E-GARCH; ARMA; Government Bonds; Volatility; Loss functions; Fixed Income Market and realized volatility.; ARCH; GARCH; GJR-GARCH; E-GARCH; Statsobligationer och Volatilitet;

    Abstract : Volatility is an important variable in financial markets, risk management and making investment decisions. Different volatility models are beneficial tools to use when predicting future volatility. The purpose of this study is to compare the accuracy of various volatility models, including ARCH, GARCH and extensions of the GARCH framework. READ MORE

  4. 3. Anticipating Glacier Lake Outburst Floods (GLOFs): an impact-based forecasting framework for managing GLOF risks in Nepal.

    University essay from Lunds universitet/Avdelningen för Riskhantering och Samhällssäkerhet

    Author : Grace Muir; [2023]
    Keywords : Anticipatory Action; Impact-based Forecasting; Glacier Lake Outburst Flood; Nepal; Risk-informed Early Action; Prediction; Disaster Risk Management; Science General;

    Abstract : Glacier lake outburst floods (GLOFs) are an increasingly documented threat across the Himalayan region, wherein Nepal is situated. GLOFs involve a rapid discharge of water from a lake situated at the side, front, within, beneath, or on the surface of a glacier. READ MORE

  5. 4. Lönsamhet i skogsmarksgödsling för privata markägare i norra Sverige : en jämförelse av lönsamheten i två olika gödslingsstrategier

    University essay from SLU/Dept. of Forest Economics

    Author : Carl Sköld; [2023]
    Keywords : annuitet; gödsling; Internränta; Klimatsmart; Koldioxid; Miljö; nettonuvärde; Privat skogsägare; Skogsbruk;

    Abstract : Idag involveras åtskilliga sektorer inom bioekonomin med skogsråvaran som bas, bland annat sektorer inom textilier, konstruktion, biopharma och kemikalier. Den globala efterfrågan på skogsråvaran är hög. READ MORE

  6. 5. Portfolio Risk Modelling in Venture Debt

    University essay from KTH/Matematisk statistik

    Author : John Eriksson; Jacob Holmberg; [2023]
    Keywords : Startup Default Probability; Venture Debt; Gaussian Copula; Value-at-Risk; Expected Shortfall; Exposure at Default; Loss Given Default; Forecast; Linear Dynamic System; ARIMA Time Series; Monte Carlo Simulation; Linear Regression; Central Limit Theorem;

    Abstract : This thesis project is an experimental study on how to approach quantitative portfolio credit risk modelling in Venture Debt portfolios. Facing a lack of applicable default data from ArK and publicly available sets, as well as seeking to capture companies that fail to service debt obligations before defaulting per se, we present an approach to risk modeling based on trends in revenue. READ MORE