Essays about: "historical simulation var"

Showing result 11 - 15 of 46 essays containing the words historical simulation var.

  1. 11. Digital Twins in Industrial Product Realization - A Literature Study

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

    Author : Joar Haraldsson; [2020]
    Keywords : ;

    Abstract : Increased focus on sustainability in conjunction with larger demand for individualized and customized products are presenting the manufacturing industry with new challenges in production cycle management and sustainable processes. Digital Twin Technology is an emerging technology and could be an answer to these challenges. READ MORE

  3. 12. Evaluating VaR and ES for commodities - both conventionally and with neural networks

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : David Fang; Måns Eile; [2020]
    Keywords : Value-at-Risk; Expected Shortfall; Commodities; GARCH 1; 1 ; ANN; LSTM; Volatility forecasting; VWHS; Business and Economics;

    Abstract : As commodities are becoming more popular and accessible assets for speculative and hedging purposes, the limited research regarding risk management for said asset-class justifies further contribution to the deficient output. Many previous studies have highlighted the extraordinary high volatility, with non-linear and clustering characteristics associated with commodities. READ MORE

  4. 13. Simulating People Flow at an Airport : Case study: Arlanda Airport

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

    Author : Linus Bein Fahlander; Melker Mossberg; [2020]
    Keywords : ;

    Abstract : Companies that manage large numbers of people in public spaces, such as airports, would benefit from having the ability to accurately predict people-flow in their facilities. However, creating high-performance crowd-simulations in a context with continually changing time-tables and gate locations is a complex problem. READ MORE

  5. 14. Predicting Exchange Rate Value-at-Risk and Expected Shortfall: A Neural Network Approach

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Anna Bijelic; Tilila Ouijjane; [2019]
    Keywords : Value-at-Risk; Expected Shortfall; Recurrent Neural Networks; GRU; GARCH 1; 1 ; Exchange Rate Volatility; Intra-day Data; Business and Economics;

    Abstract : On the basis of the recommendation of the Basel Committee on Banking Supervision to transition from Value-at-Risk (VaR) to Expected Shortfall (ES) in determining market risk capital, this paper attempts to investigate whether a Recurrent Neural Network provides more accurate VaR and ES predictions of the EUR/USD exchange rate compared to the conventional GARCH(1,1) model. A number of previous studies has confirmed the forecasting ability of a plain vanilla Feedforward Neural Network over traditional statistical models. READ MORE

  6. 15. Comparison between proactive block replacement with no inventory and separate reactive replacement with inventory

    University essay from Blekinge Tekniska Högskola/Institutionen för industriell ekonomi

    Author : Tobias Bengtsson; [2017]
    Keywords : Block replacement; separate replacement; inventory; no inventory;

    Abstract : To become a successful company today all costs, must be kept to a minimum. To make sure they are companies need to try new methods and policies to get closer to an optimum production. One of the things that need attention is the inventory of spare parts and the replacement of the same. READ MORE