Essays about: "risk modelling"

Showing result 16 - 20 of 341 essays containing the words risk modelling.

  1. 16. A Multi-Level Extension of the Hierarchical PCA Framework with Applications to Portfolio Construction with Futures Contracts

    University essay from KTH/Matematisk statistik

    Author : Kajsa Bjelle; [2023]
    Keywords : Portfolio construction; asset allocation; principal component analysis; hierarchical principal component analysis; hierarchical shrinkage; eigenportfolio risk; Portföljkonstruktion; tillgångsallokering; principalkomponentanalys; hierarkisk principalkomponentanalys; hierarkisk krympning; egenportföljrisk;

    Abstract : With an increasingly globalised market and growing asset universe, estimating the market covariance matrix becomes even more challenging. In recent years, there has been an extensive development of methods aimed at mitigating these issues. READ MORE

  3. 17. Bayesian Networks for Modelling the Respiratory System and Predicting Hospitalizations

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

    Author : Victor Lopo Martinez; [2023]
    Keywords : Bayesian Networks; Structure Learning; Conditional Probability Tables; Maximum Likelihood Estimator; XGBoost; and Respiratory System; Bayesianska nätverk; Strukturinlärning; Villkorliga sannolikhetstabeller; Maximum Likelihood Estimator; XGBoost; och Andningssystemet;

    Abstract : Bayesian networks can be used to model the respiratory system. Their structure indicate how risk factors, symptoms, and diseases are related and the Conditional Probability Tables enable predictions about a patient’s need for hospitalization. READ MORE

  4. 18. Applying the Shadow Rating Approach: A Practical Review

    University essay from KTH/Matematik (Avd.)

    Author : Viktor Barry; Carl Stenfelt; [2023]
    Keywords : Shadow Rating; probability of default; low default portfolio; credit risk; statistical learning; financial regulation; Basel; Pluto and Tasche; Skuggrating; sannolikhet av fallissemang; lågfallissemangsportfölj; kreditrisk; statistisk inlärning; finansiella regelverk; Basel; Pluto och Tasche;

    Abstract : The combination of regulatory pressure and rare but impactful defaults together comprise the domain of low default portfolios, which is a central and complex topic that lacks clear industry standards. A novel approach that utilizes external data to create a Shadow Rating model has been proposed by Ulrich Erlenmaier. READ MORE

  5. 19. Energy System Planning, Optimisation & the Impacts of Climate Hazards: the Case-Study of Malmö Municipality in Sweden

    University essay from Uppsala universitet/Institutionen för geovetenskaper

    Author : Julia Fabris; [2023]
    Keywords : Sustainable Energy Transition; Climate Change Adaptation; Hybrid Renewable Energy System; Energy System Optimisation; Climate Hazards;

    Abstract : Urban areas house most of the global population and are also responsible for large shares of global greenhouse gas emissions. Cities and municipalities thus play a significant role in modern society to achieve an energy transition to renewable energy sources and to adapt to climate change. READ MORE

  6. 20. Modelling Risk in Real-Life Multi-Asset Portfolios

    University essay from KTH/Matematik (Avd.)

    Author : Karin Hahn; Axel Backlund; [2023]
    Keywords : Risk modelling; multi-asset portfolios; risk factor models; time series analysis; regression; Riskmodellering; finansiella portföljer; riskfaktormodeller; tidsserieanalys; regression;

    Abstract : We develop a risk factor model based on data from a large number of portfolios spanning multiple asset classes. The risk factors are selected based on economic theory through an analysis of the asset holdings, as well as statistical tests. READ MORE