Essays about: "thesis on financial modelling"

Showing result 1 - 5 of 61 essays containing the words thesis on financial modelling.

  1. 1. On modelling OMXS30 stocks - comparison between ARMA models and neural networks

    University essay from Uppsala universitet/Matematiska institutionen

    Author : Irina Zarankina; [2023]
    Keywords : ARMA; ARIMA; LSTM; time series; statistics;

    Abstract : This thesis compares the results of the performance of the statistical Autoregressive integrated moving average (ARIMA) model and the neural network Long short-term model (LSTM) on a data set, which represents a market index. Both models are used to predict monthly, daily, and minute close prices of the OMX Stockholm 30 Index. READ MORE

  3. 2. Modelling Proxy Credit Cruves Using Recurrent Neural Networks

    University essay from KTH/Matematisk statistik

    Author : Lucas Fageräng; Hugo Thoursie; [2023]
    Keywords : Deep Neural Networks; Credit Risk; Financial Modelling; LSTM; Credit Default Swaps; Credit Valuation Adjustment; Djupa Neurala Nätverk; Kreditrisk; Finansiell Modellering; LSTM; Kreditswappar; Kreditvärderingsjustering;

    Abstract : Since the global financial crisis of 2008, regulatory bodies worldwide have implementedincreasingly stringent requirements for measuring and pricing default risk in financialderivatives. Counterparty Credit Risk (CCR) serves as the measure for default risk infinancial derivatives, and Credit Valuation Adjustment (CVA) is the pricing method used toincorporate this default risk into derivatives prices. READ MORE

  4. 3. Hydrogen fuel in the domestic maritime transport sector of Fiji : A Feasibility Study

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

    Author : Tilda Eklund; Anna Fredén; [2023]
    Keywords : Fiji; Fuel Cell; Maritime Hydrogen; Maritime Transport; Fiji; Bränslecell; Maritim Vätgas; Maritim Transport;

    Abstract : The maritime transport sector accounts for around 2.9% of the world’s anthropogenic emissions, a percentage that is growing yearly. Alternative fuels have come to be considered the necessary solution of the future, not least in island nations such as Fiji that are socially and economically dependent on sustainable maritime transport. READ MORE

  5. 4. Portfolio Risk Modelling in Venture Debt

    University essay from KTH/Matematisk statistik

    Author : John Eriksson; Jacob Holmberg; [2023]
    Keywords : Startup Default Probability; Venture Debt; Gaussian Copula; Value-at-Risk; Expected Shortfall; Exposure at Default; Loss Given Default; Forecast; Linear Dynamic System; ARIMA Time Series; Monte Carlo Simulation; Linear Regression; Central Limit Theorem;

    Abstract : This thesis project is an experimental study on how to approach quantitative portfolio credit risk modelling in Venture Debt portfolios. Facing a lack of applicable default data from ArK and publicly available sets, as well as seeking to capture companies that fail to service debt obligations before defaulting per se, we present an approach to risk modeling based on trends in revenue. READ MORE

  6. 5. Beyond Disruptions: Optimizing Supply Chain Resilience : A qualitative and quantitative analysis of the aftermarket supply chain

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

    Author : Sara Andersson; Jesper Karlsson; [2023]
    Keywords : Modelling Supply Chain Resilience; Supply Chain Disruptions; Semi-structured Interviews; Robustness Analysis; Flow Optimisation; Supply Chain Network Topology; Performance Measure;

    Abstract : The world is changing, what has been known to work has been put to the test when both the geopolitical and the environmental climate are changing. War, a pandemic, material shortage, financial difficulties and an overall dis- tressed global transportation sector have shown that the ever-more important topic of resilience is crucial to stay relevant in today’s competitive markets. READ MORE