Essays about: "historisk simulation"

Showing result 1 - 5 of 20 essays containing the words historisk simulation.

  1. 1. Improvement of a longterm energy demand forecasting model on a European scale, from data collection to modelling

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

    Author : Kévin Retailleau; [2023]
    Keywords : Energy demand forecasting; simulation model; energy data collection; multi-country modelling; Prognoser för energiefterfrågan; simuleringsmodell; insamling av energidata; modellering för flera länder;

    Abstract : Energy demand forecasting has been more vital in recent years with countries setting goals to become climate neutral by 2050. Indeed, energy demand forecasting allows the understanding of drivers of the energy demand in all sectors of the economy. It also allows the planning of transformation of the future energy system. READ MORE

  3. 2. Accuracy of Risk Measures For Black Swan Events

    University essay from KTH/Matematisk statistik

    Author : Viktor Barry; [2021]
    Keywords : Black swans; value at risk; conditional value at risk; monte carlo simulation; financial mathematics; risk analysis; financial risk; Black Swan; value at risk; conditional value at risk; monte carlo-simulering; finansiell matematik; riskanalys; finansiell risk;

    Abstract : This project aims to analyze the risk measures Value-at-Risk and Conditional-Value-at-Risk for three stock portfolios with the purpose of evaluating each method's accuracy in modelling Black Swan events. This is achieved by utilizing a parametric approach in the form of a modified (C)VaR with a Cornish-Fisher expansion, a historic approach with a time series spanning ten years and a Markov Monte Carlo simulation modeled with a Brownian motion. READ MORE

  4. 3. The potential of wind power on the Swedish ancillary service markets

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

    Author : Hannes Wiklund; [2021]
    Keywords : ;

    Abstract : An increasing proportion of variable renewable energy in the Swedish power system is leading to greater needs of system flexibility. A key aspect of handling this is frequency flexibility where actors can either increase or decrease their production or consumption when required. READ MORE

  5. 4. 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

  6. 5. Rebalancing 2.0-A Macro Approach to Portfolio Rebalancing

    University essay from KTH/Matematisk statistik

    Author : Rawand Sultani; [2020]
    Keywords : Statistics; Applied Mathematics; Financial Mathematics; Rebalancing; Asset Allocation; Monte-Carlo; Backtesting; Makro; Statistik; Tillämpad matematik; Finansiell matematik; Rebalansering; Tillgångsallokering; Monte-Carlo; Backtesting; Makro;

    Abstract : Portfolio rebalancing has become a popular tool for institutional investors the last decade. Adaptive asset allocation, an approach suggest by William Sharpe is a new approach to portfolio rebalancing taking market capitalization of asset classes into consideration when setting the normal portfolio and adapting it to a risk profile. READ MORE