Essays about: "rolling forecasts"

Showing result 16 - 20 of 21 essays containing the words rolling forecasts.

1. 16. On the complementary role of budget and rolling forecast - A case study of Philips Company (consumer Lifestyle sector) in the Netherlands

   University essay from Göteborgs universitet/Graduate School

   Author : Shabnam Ilchikabir; [2015-01-20]
   Keywords : Contingency theory; Traditional budget; Forecasting; Rolling forecast;

   Abstract : Current business atmosphere is considered much more dynamic and complex than before that makes traditional management accounting tools such as annual budgeting inappropriate to confront such enduring competition. According to Bescos et al. READ MORE

3. 17. Analysing the Role of Rolling Forecast from a Broad Perspective

   University essay from Göteborgs universitet/Graduate School

   Author : Yuandong Liang; Cheima Ordasi; [2015-01-20]
   Keywords : Rolling forecast; Budget; Management control system;

   Abstract : The dynamic business environment requires the management control system (MCS) of an organization to be changed to be adaptable. Therefore, as a management control system, rolling forecasts are increasingly being adopted as a replacement for a static annual budget in more and more organizations under the current volatile economy conditions. READ MORE

4. 18. Which GARCH model is best for Value-at-Risk?

   University essay from Uppsala universitet/Nationalekonomiska institutionen

   Author : Erik Berggren; Fredrik Folkelid; [2015]
   Keywords : Value-at-Risk; ARCH GARCH forecasting; Backtesting; Kupiec test; Christoffersen test;

   Abstract : The purpose of this thesis is to identify the best volatility model for Value-at-Risk(VaR) estimations. We estimate 1 % and 5 % VaR figures for Nordic indices andstocks by using two symmetrical and two asymmetrical GARCH models underdifferent error distributions. READ MORE

5. 19. Performance of fat-tailed Value-at-risk : A comparison using backtesting on the OMXS30

   University essay from Högskolan i Jönköping/IHH, Economics, Finance and Statistics

   Author : Cristoffer Vallenå; Henrik Askvik; [2014]
   Keywords : Risk management; Value-at-Risk; VaR; Fat-tails; Backtesting; GARCH;

   Abstract : The aim of this thesis is to test if the application of fat tailed distributions in value-at-risk models is of better use for risk managers than the Normal distribution. Value-at-risk is a regulatory tool used in Basel regulations. Basel II and III regulate capital required by banks according to value-at-risk backtest results. READ MORE

6. 20. Examining GARCH forecasts for Value-at-Risk predictions

   University essay from Uppsala universitet/Statistiska institutionen

   Author : Dennis Lindholm; Adam Östblom; [2014]
   Keywords : Value-at-Risk; Unconditional coverage; Christoffersen’s; GJR-GARCH;

   Abstract : In this thesis we use the GARCH(1,1) and GJR-GARCH(1,1) models to estimate the conditional variance for five equities from the OMX Nasdaq Stockholm (OMXS) stock exchange. We predict 95% and 99% Value-at-Risk (VaR) using one-day ahead forecasts, under three different error distribution assumptions, the Normal, Student’s t and the General Error Distribution. READ MORE