Essays about: "historical simulation var"

Showing result 6 - 10 of 46 essays containing the words historical simulation var.

  1. 6. 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. 7. Forecasting Value-at-Risk using GARCH(1,1) and Neural Networks as Volatility Estimation Methods – A Comparative Study

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Signe Grönberg; Sofia Nilsson; [2022]
    Keywords : ;

    Abstract : Northvolt was founded in 2015 with the goal to create the world's greenest battery. Today, Northvolt is mainly funded by investors and have suppliers all over the world, which does not come risk free. READ MORE

  4. 8. Coastal Response to Sea Level Rise in Ystad Municipality

    University essay from Lunds universitet/Avdelningen för Teknisk vattenresurslära

    Author : Elin Olsson; Sara Engström; [2021]
    Keywords : coastal erosion; Bruun Rule; sea level rise; coastal management; beach morphology; coastal processes; Technology and Engineering;

    Abstract : The globally accelerating sea-level rise poses a problem in coastal areas through, e.g., the erosion of sandy beaches. Due to this, buildings, infrastructure, and other values can be lost, making the future shoreline position important to project in coastal management. READ MORE

  5. 9. Production capacity enhancements through production line simulations

    University essay from KTH/Industriell produktion

    Author : Andreas Daugaard; Daniel Nyberg; [2021]
    Keywords : Simulation study; Capacity enhancements; OPE enhancements; Simuleringsstudie; Kapacitetsförbättringar; OPE-förbättringar;

    Abstract : The thesis project described in this report was conducted at Scania CV (Scania), which is a global company that delivers transport solutions to customers all around the globe. The project was conducted as a simulation study of the production flow of the output shaft manufacturing line UGA (Utgående Axel), located at the transmission department (DX) in Södertälje. READ MORE

  6. 10. Value at Risk Estimation with Neural Networks: A Recurrent Mixture Density Approach

    University essay from KTH/Matematik (Avd.)

    Author : William Karlsson Lille; Daniel Saphir; [2021]
    Keywords : Machine learning; Neural networks; LSTM; MDN; Mixture density; Value at Risk; VaR; Risk; Financial mathematics; Finance; Maskininlärning; Neurala nätverk; LSTM; MDN; Mixture Density; Value at Risk; VaR; Risk; Finansiell matematik; Finans;

    Abstract : In response to financial crises and opaque practices, governmental entities and financial regulatory bodies have implemented several pieces of legislature and directives meant to protect investors and increase transparency. Such regulations often impose strict liquidity requirements and robust estimations of the risk borne by a financial firm at any given time. READ MORE