Essays about: "value at risk methods"

Showing result 1 - 5 of 151 essays containing the words value at risk methods.

  1. 1. Deep learning exotic derivatives

    University essay from Uppsala universitet/Avdelningen för systemteknik

    Author : Gunnlaugur Geirsson; [2021]
    Keywords : deep learning; neural networks; derivative pricing; automatic differentiation; Monte Carlo; transfer learning; structured products; risk sensitivities; valuation; autocalls;

    Abstract : Monte Carlo methods in derivative pricing are computationally expensive, in particular for evaluating models partial derivatives with regard to inputs. This research proposes the use of deep learning to approximate such valuation models for highly exotic derivatives, using automatic differentiation to evaluate input sensitivities. READ MORE

  2. 2. A Quantitative Evaluation of Systemic Risk in the European Banking Sector

    University essay from Göteborgs universitet/Graduate School

    Author : Jimmy Andersson; Anders Svernling; [2020-07-07]
    Keywords : Systemic risk measures; Systemic risk contribution; European banking supervision; Risk rankings;

    Abstract : MSc in Finance.... READ MORE

  3. 3. Deep Learning and the Heston Model:Calibration & Hedging

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Oliver Klingberg Malmer; Victor Tisell; [2020-07-03]
    Keywords : deep learning; deep hedging; deep calibration; option pricing; stochastic volatilty; Heston model; S P 500 index options; incomplete markets; transaction costs;

    Abstract : The computational speedup of computers has been one of the de ning characteristicsof the 21st century. This has enabled very complex numerical methods for solving existingproblems. As a result, one area that has seen an extraordinary rise in popularity over the lastdecade is what is called deep learning. READ MORE

  4. 4. Implementation of Swedish Risk Assessment Guidelines in Kodaikanal, India : A Study of Mercury Contamination in an Area Near a Former Thermometer Factory

    University essay from Uppsala universitet/Institutionen för geovetenskaper; Uppsala universitet/Institutionen för geovetenskaper

    Author : Anna Lindholm; Carin Hayer; [2020]
    Keywords : Mercury contamination; Thermometer Factory Kodaikanal; Risk Assessment in Sweden; Risk Assessment in India; Environmental Legislation; Remediation Methods; Sustainable Development Goals;

    Abstract : The aim of the project was to make a detailed risk assessment using Swedish guidelines for a factory site in Kodaikanal, South India, and a nearby village called Vellagavi. The study areas were chosen due to previous records of mercury contamination on the factory site and a possible spread to Vellagavi. READ MORE

  5. 5. Att mäta med stadslivet som insats : en validitets- och reliabilitetsanalys av ett verktyg som kvantifierar sociala värden i urban miljö

    University essay from SLU/Dept. of Urban and Rural Development

    Author : Ida Lövgren; Ida Sjöberg; [2020]
    Keywords : landskapsarkitektur; stadsplanering; kvantifieringsverktyg; stadsliv; urbana miljöer; sociala värden; social hållbarhet; hållbarhet; mäta; mätbarhet; omätbar; kvalitativ; kvantitativ; kvantifiering; validitet; reliabilitet; expertkunskap; demokrati;

    Abstract : Samhället förlitar sig idag mer och mer på att mätbara variabler ska kunna fånga och förenkla den komplexa värld vi lever i. Människan vänder sig till kalkylerande metoder och går mot en “pedantisk byråkrati” där generaliseringen får oss att förlora det unika i situationer och individer (Bornemark 2018). READ MORE