Essays about: "Historical Simulation"

Showing result 16 - 20 of 142 essays containing the words Historical Simulation.

  1. 16. On the Value at Risk Forecasting of the Market Risk for Large Portfolios based on Dynamic Factor Models with Multivariate GARCH Specifications

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Axel Eurenius Larsson; [2022]
    Keywords : Dynamic factor model; Value at Risk; Forecasting; Conditional Correlation GARCH.;

    Abstract : Market risk is the risk of capital loss due to unexpected changes in market prices. One risk measure used to estimate market risk is Value at Risk (VaR). The common historical simulation methodology of VaR forecasting usually does not capture the time-varying volatilities associated with financial data. READ MORE

  3. 17. A comparison of the Basel III capital requirement models for financial institutions

    University essay from Lunds universitet/Matematisk statistik

    Author : Sara Johannesson; Amanda Wahlberg; [2022]
    Keywords : Basel III; Internal Model Method IMM ; Standardized Approch for Counterparty Credit Risk SA-CCR ; Counterparty Credit Risk; Capital Requirement; Mathematics and Statistics;

    Abstract : 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

  4. 18. Estimating CO2 reductions from renewable energy sources : The impact of power system nonlinearities

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

    Author : Kristoffer Berglund; [2022]
    Keywords : CO2 reduction; Dispatch model; Econometric model; Unit commitment; CO2-reduktion; ekonometriska modeller; produktionssimuleringsmodeller;

    Abstract : Replacing conventional generation with renewable generation in power systems is essential for reducing CO2 emissions. It is important to know how effective renewables are in reducing CO2 emissions. Since CO2 reduction cannot be measured directly, different methods have been used to estimate reduction of CO2 emissions. READ MORE

  5. 19. Modeling the yield curve in conjunction with the FX spots

    University essay from Umeå universitet/Institutionen för fysik

    Author : Philip Lundqvist; [2022]
    Keywords : Yield Curve; FX spots; Bootstrap; Hull-White; Simulation; Calibration;

    Abstract : Interest rates and foreign exchange spots are widely used within financial products. It is important to understand the risk arising from products that depend on interest rates and/or foreign exchange spots. READ MORE

  6. 20. Power systems with local PV-generation and battery storage for peak shaving to provide flexibility services to the utility grid

    University essay from Uppsala universitet/Elektricitetslära

    Author : Vincent Jansson; [2022]
    Keywords : Peak shaving; power peaks; flexibility services; flexibility markets;

    Abstract : Due to the increased demand for electricity in recent years and the estimated demand in the future it has become clear that the capacity of the Swedish electrical grid is insufficient, and the grid is not able deliver the amount of power that is demanded by the market. The crucial points in the grid where the grid capacity is insufficient could be several. READ MORE