Essays about: "Multi-factor models"

Showing result 11 - 15 of 20 essays containing the words Multi-factor models.

1. 11. Restricted Region Exact Designs

   University essay from Linköpings universitet/Matematiska institutionen

   Author : Johan Persson; [2017]
   Keywords : exact design; D-optimality; D-optimal designs; design of experiments; Fedorov algorithm; restricted experiment region; restricted design region; restricted design space; information matrix; clinical experiments; isomorphic designs; isoinformatic designs; exakt design; D-optimalitet; D-optimal design; experimentdesign; Fedorovalgoritm; begränsad experimentregion; begränsad designregion; begränsad designrymd; informationsmatris; kliniska experiment; isomorfa designer; isoinforma designer;

   Abstract : Problem statement: The D-optimal design is often used in clinical research. In multi-factor clinical experiments it is natural to restrict the experiment's design space so as not to give a patient the combination of several high dose treatments simultaneously. Under such design space restrictions it is unknown what designs are D-optimal. READ MORE

3. 12. On the risk relation between Economic Value of Equity and Net Interest Income

   University essay from KTH/Matematisk statistik

   Author : André Berglund; Carl Svensson; [2017]
   Keywords : ;

   Abstract : The Basel Committee has proposed a new Pillar 2 regulatory framework for evaluating the interest rate risk of a bank's banking book appropriately called Interest Rate Risk in the Banking Book. The framework requires a bank to use and report two different interest rate risk measures: Economic Value of Equity (EVE) risk and Net Interest Income (NII) risk. READ MORE

4. 13. To Measure Concentration Risk - A comparative study

   University essay from Lunds universitet/Matematisk statistik

   Author : Alma Broström; Hanna Scheibenpflug; [2017]
   Keywords : Multi factor adjustment; Pykhtin; Partial Portfolio Approach; capital requirement; Monte Carlo; name concentration; sector concentration; Credit concentration risk; Mathematics and Statistics;

   Abstract : Credit risk is one of the largest risks facing a bank and following the Basel regulations, banks are expected to hold capital to protect themselves against credit risk. This thesis aims to evaluate models to calculate the capital requirement for credit concentration risk and compare them to the models suggested by Finansinspektionen. READ MORE

5. 14. Stochastic Modeling of Electricity Prices and the Impact on Balancing Power Investments

   University essay from KTH/Industriell ekonomi och organisation (Inst.)

   Author : Richard Ruthberg; Sebastian Wogenius; [2016]
   Keywords : Energy investment; investment valuation; renewable energy production; electricity price modeling; long-term; combined heat and power; CHP; balancing power; intermittent renewable energy modeling; Pilipovic model; multi-factor model; sinusoidal regression; Ornstein-Uhlenbeck estimation; electricity price duration prediction; Nord Pool; Sweden electricity market; future energy systems; phasing out nuclear power; energy policy.;

   Abstract : Introducing more intermittent renewable energy sources in the energy system makes the role of balancing power more important. Furthermore, an increased infeed from intermittent renewable energy sources also has the effect of creating lower and more volatile electricity prices. READ MORE

6. 15. Multi-Factor Extensions of the Capital Asset Pricing Model: An Empirical Study of the UK Market

   University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

   Author : Calum Johnson; [2015]
   Keywords : Asset Pricing Models; Portfolio Theory; Applied Mathematics; Finance; CAPM; Equities; UK;

   Abstract : The point of this thesis is to compare classic asset pricing models using historic UK data. It looks at three of the most commonly used asset pricing models in Finance and tests the suitability of each for the UK market. READ MORE