Search for dissertations about: "VaR"

Showing result 1 - 5 of 2838 swedish dissertations containing the word VaR.

  1. 1. Essays on Financial Risks and Derivatives with Applications to Electricity Markets and Credit Markets

    University dissertation from Department of Economics, Lund Universtiy

    Author : Rikard Green; Lunds universitet.; Lund University.; [2009]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Markov Chain Monte Carlo; Jump Diffusion Process; Stochastic Volatility; VaR; Electricity Markets; Market Risk; Forward Curve; Credit Risk; Currency Effects;

    Abstract : Popular Abstract in Swedish Kontrakt som handlas på de internationella finans- och råvarumarknaderna är förenade med komplexa riskstrukturer. Denna avhandling behandlar två specifika typer av risk; marknadsrisk och kreditrisk. Det första kapitlet i avhandlingen undersöker marknadsrisker på den Nordiska elmarknaden. READ MORE

  2. 2. Essays on VIX Futures and Options

    University dissertation from Department of Economics, Lund Universtiy

    Author : Bujar Huskaj; Lunds universitet.; Lund University.; [2012]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; NIG; Long memory; Futures; FIGARCH; FIAPARCH; Options; Realized volatility; VaR; VIX; Volume;

    Abstract : This thesis consists of three essays on VIX futures and options, and deals with issues highly relevant to all financial markets, such as understanding the operation of markets and developing flexible and tractable pricing models for contracts traded in them. It consists of four chapters. READ MORE

  3. 3. Model choice in Bayesian VAR models

    University dissertation from Örebro : Örebro university

    Author : Shutong Ding; Örebro universitet.; [2014]
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Statistics; Statistik;

    Abstract : .... READ MORE

  4. 4. Essays on Financial Markets and the Macroeconomy

    University dissertation from Stockholm : Department of Economics, Stockholm University

    Author : Jürg Fausch; Stockholms universitet.; [2017]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Asset pricing; business cycles; DSGE model; macroeconomic risk; monetary policy shocks; recursive preferences; stock market; VAR model; variance decomposition; Economics; nationalekonomi;

    Abstract : Asset pricing implications of a DSGE model with recursive preferences and nominal rigidities. I study jointly macroeconomic dynamics and asset prices implied by a production economy featuring nominal price rigidities and Epstein-Zin (1989) preferences. READ MORE

  5. 5. Toward Sequential Data Assimilation for NWP Models Using Kalman Filter Tools

    University dissertation from Stockholm : Department of Mathematics, Stockholm University

    Author : Jelena Bojarova; Stockholms universitet.; [2010]
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; non-Gaussian state space models; Kalman filtering; ETKF; 3D-Var; data assimilation; NWP; MATHEMATICS Applied mathematics Mathematical statistics; MATEMATIK Tillämpad matematik Matematisk statistik; matematisk statistik; Mathematical Statistics;

    Abstract : The aim of the meteorological data assimilation is to provide an initial field for Numerical Weather Prediction (NWP) and to sequentially update the knowledge about it using available observations. Kalman filtering is a robust technique for the sequential estimation of the unobservable model state based on the linear regression concept. READ MORE