Sökning: "Value-at-Risk"

Visar resultat 11 - 15 av 23 avhandlingar innehållade ordet Value-at-Risk.

1. 11. A Systemic Approach Framework for Operational Risk : – SAFOR –

   Författare :Anna-Maria Kessler; Love Ekenberg; Mats Danielson; Tara Baidya; Stockholms universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; operational risk; systems thinking; decision analysis; interval forecasts; Computer and systems science; Data- och systemvetenskap; Computer and Systems Sciences; data- och systemvetenskap;

   Sammanfattning : This thesis attempts to describe the essential systems features of a complex real-world domain of operational risk (OR) in banking, by employing general systems theory (GST) as the guiding method. An implementational framework (SAFOR) is presented for operational risk management (ORM), the target of which is to manage and mitigate the risk-around-loss causes. LÄS MER

3. 12. Benefits of Coordinating Plug-In Electric Vehicles in Electric Power Systems : Through Market Prices and Use-of-System Network Charges

   Författare :Ilan Momber; Lennart Söder; Tomás Gómez San Román; José Villar Collado; KTH; []
   Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; Electric Vehicles; Power Systems; Optimization; Elektrische Voertuigen; Energiesystemen; Optimalisatie; Elbilarna; Elkraftsystem; Optimering; Vehiculos Electricos; Sistemas de Potencia; Optimización; Electrical Engineering; Elektro- och systemteknik; Economics; Nationalekonomi; Industriell ekonomi och organisation; Industrial Engineering and Management; Energy Technology; Energiteknik; Transportvetenskap; Transport Science;

   Sammanfattning : Both electric power systems and the transportation sector are essential constituents to modern life, enhancing social welfare, enabling economic prosperity and ultimately providing well-being to the people. However, to mitigate adverse climatological effects of emitting greenhouse gases, a rigorous de-carbonization of both industries has been set on the political agenda in many parts of the world. LÄS MER

4. 13. Bayesian portfolio selection and risk estimation

   Författare :Vilhelm Niklasson; Taras Bodnar; Andreas Stephan; Stockholms universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

   Sammanfattning : This thesis concerns portfolio theory from a Bayesian perspective and it includes two papers related to this theme. In the first paper, optimal portfolio weights are derived from a Bayesian perspective to the problem of minimizing the portfolio risk in terms of value at risk (VaR) or conditional value at risk (CVaR) given a certain level of expected return. LÄS MER

5. 14. Essays on credit markets and banking

   Författare :Ulf Holmberg; Kurt Brännäs; Jörgen Hellström; Peter Englund; Umeå universitet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; financial stability; credit market; banking; agent based model; simulations; disequilibrium; clearing market; business cycle; risk; organization; ekonometri; Econometrics; nationalekonomi; Economics;

   Sammanfattning : This thesis consists of four self-contained papers related to banking, credit markets and financial stability.    Paper [I] presents a credit market model and finds, using an agent based modeling approach, that credit crunches have a tendency to occur; even when credit markets are almost entirely transparent in the absence of external shocks. LÄS MER

7. 15. Essays on Corporate Risk Management

   Författare :Håkan Jankensgård; Företagsekonomiska institutionen; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Risk management; risk measurement; hedging; enterprise risk; centralization;

   Sammanfattning : Companies spend a lot of attention and resources on something commonly referred to as ‘risk management’. Despite its apparent importance and intuitive appeal, corporate risk management is fraught with many difficulties, both on the conceptual and practical level. LÄS MER