Search for dissertations about: "VaR"

Showing result 1 - 5 of 3079 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. Där nöden var som störst : en studie av fattigdom och fattigvård i en småländsk landsbygdssocken 1815-1935 [dvs 1835-1915]

    University dissertation from Stockholm : Univ

    Author : Christina Gerger; Stockholms universitet.; [1992]
    Keywords : Fattigdom-- historia -- Sverige -- Småland -- 1800-talet -- 1900-talet; Fattigvård-- Sverige -- Småland -- 1835-1915; Locknevi;

    Abstract : .... READ MORE

  4. 4. 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

  5. 5. 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