Search for dissertations about: "VaR"

Showing result 1 - 5 of 3918 swedish dissertations containing the word VaR.

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

    Author : Rikard Green; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Markov Chain Monte Carlo; Jump Diffusion Process; Stochastic Volatility; VaR; Electricity Markets; Market Risk; Forward Curve; Credit Risk; Currency Effects;

    Abstract : Contracts traded on international financial and commodity markets are associated with complex risk structures. In this dissertation we are concerned with two specific types of risks; market risks and credit risks. The first chapter investigates market risks in the context of the Nordic electricity market. READ MORE

  4. 2. Essays on VIX Futures and Options

    Author : Bujar Huskaj; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; 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

  5. 3. Model choice in Bayesian VAR models

    Author : Shutong Ding; Mattias Villani; Örebro universitet; []
    Keywords : NATURAL SCIENCES; NATURVETENSKAP; NATURVETENSKAP; NATURAL SCIENCES; Statistics; Statistik;

    Abstract : .... READ MORE

  6. 4. VAR Models, Cointegration and Mixed-Frequency Data

    Author : Sebastian Ankargren; Johan Lyhagen; Yukai Yang; Gregor Kastner; Uppsala universitet; []
    Keywords : NATURAL SCIENCES; NATURVETENSKAP; NATURVETENSKAP; NATURAL SCIENCES; vector error correction; small open economy; mixed-frequency data; Bayesian; steady state; nowcasting; state-space model; large VARs; simulation smoothing; factor stochastic volatility; R; Statistics; Statistik;

    Abstract : This thesis consists of five papers that study two aspects of vector autoregressive (VAR) modeling: cointegration and mixed-frequency data.Paper I develops a method for estimating a cointegrated VAR model under restrictions implied by the economy under study being a small open economy. READ MORE

  7. 5. Unconventional Monetary Policy at the International, National and Local Level

    Author : Martin Nordström; Pär Österholm; Niclas Kreuger; Lars Hultkrantz; Jesper Lindé; Örebro universitet; []
    Keywords : SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Bayesian VAR; Cointegration; Forecast evaluation; Municipal debt; Spread; Stochastic volatility; Sveriges Riksbank; Time-varying parameters; Unconventional monetary policy;

    Abstract : This thesis is based on four essays. The first investigates time-variation in the relationship between short interest rates and consumption in the USA and Sweden. Results based on Bayesian VAR models indicate that the short rate ceased to respond to consumption shocks when constrained by the zero lower bound. READ MORE