Sökning: "Value-at-Risk"
Visar resultat 6 - 10 av 23 avhandlingar innehållade ordet Value-at-Risk.
6. Aspects of Modeling Fraud Prevention of Online Financial Services
Sammanfattning : Banking and online financial services are part of our critical infrastructure. As such, they comprise an Achilles heel in society and need to be protected accordingly. The last ten years have seen a steady shift from traditional show-off hacking towards cybercrime with great economic consequences for society. LÄS MER
7. Nonlinear Programming - Robust Models and Applications
Sammanfattning : The major theme of this thesis is nonlinear programming with an emphasis on applications and robust models. The thesis has two parts. The first three papers comprise the first part. Here, we discuss robustness properties of optimal solutions to a variety of models. LÄS MER
8. Essays on banking, credit and interest rates
Sammanfattning : This dissertation consists of four papers, each with an application of a discrete dependent variable model, censored regression or duration model to a credit market phenomenon or monetary policy question. The first three essays deal with bank lending policy, while the last one studies interest rate policy by Central Banks. LÄS MER
9. On Risk Prediction
Sammanfattning : This thesis comprises four papers concerning risk prediction. Paper [I] suggests a nonlinear and multivariate time series model framework that enables the study of simultaneity in returns and in volatilities, as well as asymmetric effects arising from shocks. LÄS MER
10. Impact of dependencies in risk assessments of power distribution systems
Sammanfattning : Society has become increasingly dependent on electricity, so power system reliability is of crucial importance. However, while underinvestment leads to an unacceptable number of power outages, overinvestment will result in costs that are too high for society. The challenge is to find a socioeconomically adequate level of risk. LÄS MER