Sökning: "conditional value-at-risk"

Visar resultat 6 - 10 av 14 avhandlingar innehållade orden conditional value-at-risk.

1. 6. Impact of dependencies in risk assessments of power distribution systems

   Författare :Karin Alvehag; Lennart Söder; KTH; []
   Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; Electrical engineering; Elektroteknik;

   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

3. 7. 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. 8. 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

5. 9. 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

7. 10. Electricity markets operation planning with risk-averse agents: stochastic decomposition and equilibium

   Författare :Nenad Jovanovic; KTH; []
   Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; decomposition techniques; market equilibrium; risk-averse agents; stochastic optimization;

   Sammanfattning : The growing penetration of renewable energy sources in electricity systems requires adapting operation models to face the inherent variability and uncertainty of wind or solar generation. In addition, the volatility of fuel prices (such as natural gas) or the uncertainty of the hydraulic natural inflows requires to take into account all these sources of uncertainty within the operation planning of the generation system. LÄS MER