Sökning: "conditional value-at-risk"

Visar resultat 1 - 5 av 12 avhandlingar innehållade orden conditional value-at-risk.

  1. 1. Essays on Risk in International Financial Markets

    Författare :Ola Larsson; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; volatility; Value at Risk; copulas; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Financial science; Finansiering;

    Sammanfattning : This thesis deals with techniques to model risk in financial markets and consists of four separate essays. The thesis begins with an introduction in chapter one, while chapter two to chapter five contains the four essays. The first essay examines the implication of using various risk measures for portfolio selection. LÄS MER

  2. 2. Topics in Workforce Management in a Contact Center Context

    Författare :Göran Svensson; Per Enqvist; Tolga Tezcan; KTH; []
    Nyckelord :NATURAL SCIENCES; NATURVETENSKAP; NATURVETENSKAP; NATURAL SCIENCES; queues; queuing networks; workforce management; optimization; conditional value-at-risk; Tillämpad matematik och beräkningsmatematik; Applied and Computational Mathematics;

    Sammanfattning : This thesis is written as a monograph covering topics in operations research and focusing on workforcemanagement in a contact center environment.This text is the result of a cooperative project between the Royal Institute of Technology (KTH) andTeleopti WFM. LÄS MER

  3. 3. Nonlinear Programming - Robust Models and Applications

    Författare :Christoffer Cromvik; Göteborgs universitet; Göteborgs universitet; Gothenburg University; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; optimization; robustness; multi-objective optimization; stochastic mathematical programs with equilibrium constraints; conditional value-at-risk; IMRT; traffic network design; airbag folding; Origami; airbag folding;

    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

  4. 4. Aspects of Modeling Fraud Prevention of Online Financial Services

    Författare :Gorton Dan; Lars-Göran Mattsson; Simin Nadjm-Tehrani; KTH; []
    Nyckelord :ENGINEERING AND TECHNOLOGY; TEKNIK OCH TEKNOLOGIER; TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; Online banking; fraud; incident response; metrics; incident response tree IRT ; value at risk VaR ; simulation; Transportvetenskap; Transport Science;

    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

  5. 5. Impact of dependencies in risk assessments of power distribution systems

    Författare :Karin Alvehag; Lennart Söder; KTH; []

    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