Essays about: "Value at Risk model"

Showing result 1 - 5 of 310 essays containing the words Value at Risk model.

  1. 1. CAViaR and Cross-sectional quantile regression models to assess risk in S&P500 sectors

    University essay from Göteborgs universitet/Graduate School

    Author : Vladyslava Bab’yak; [2023-06-29]
    Keywords : Value-at-Risk; CAViaR; cross-sectional quantile regression; ; risk;

    Abstract : The aim of this thesis is to investigate the performance of different models used in risk management to identify and control risks that may negatively impact company operations due to unpredictable events. More specifically, the object of this paper is the discussion of a cross-sectional quantile regression model (CSQR) and the CAViaR model, which is a time series quantile regression model. READ MORE

  3. 2. 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

  4. 3. Solar Photovoltaic Thermal Collectors and Ground Source Heat Pumps for Commercial Buildings : Case study in Sweden

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

    Author : Doris Dijak; Elin Torstensson; [2023]
    Keywords : Ground Source Heat Pump; Photovoltaic Thermal Collectors; Borehole Thermal Energy Storage; Free Cooling.; Bergvärmepumpssystem; Termiska Solceller; Borrhålsbaserade Termiska Energilager; Frikyla.;

    Abstract : In order to reduce emissions from the building sector, which stands for than a fifth of the global energy consumption today, efficient and fossil free heating and cooling systems are of importance. This study investigates the combination of solar photovoltaic thermal collectors and ground source heat pump systems in order to regenerate energy to the ground in combination with free cooling. READ MORE

  5. 4. Improving Value Proposition by Structuring Product Information Flow

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

    Author : Daniel Dahlström; Jacob Stark; [2023]
    Keywords : Value proposition; Business model innovation; Product information; Data structure; Management; Product lifecycle; Digitalization; Värdeerbjudande; Affärsmodellinnovation; Produktinformation; Datastruktur; Produktlivscykel; Digitalisering;

    Abstract : This thesis investigates the impact management of product information has on the well-studied concepts of value propositions and business model innovation. Previously, it was not sufficiently documented how this type of information influences these concepts. READ MORE

  6. 5. A Simulation-Based Decision Support Tool for Circularity : Remanufacturing of an Electric Machine Case Study

    University essay from KTH/Produktionsutveckling

    Author : Mayari Pérez Tay; [2023]
    Keywords : Simulation; remanufacturing; circular business; electric machine;

    Abstract : Over the last years, environmental concerns have grown regarding the pressure manufacturing activities exerts on natural resources. Many materials have been classified by the EU as scarce, rare earth elements found in magnets are amongst critical materials with high supply risk. READ MORE