Search for dissertations about: "stress testing of banks"

Found 1 swedish dissertation containing the words stress testing of banks.

2. 1. Theoretical and Practical Applications of Probability : Excursions in Brownian Motion, Risk Capital Stress Testing, and Hedging of Power Derivatives

   Author : Andreas Lindell; Håkan Andersson; Mogens Steffensen; Stockholms universitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; Mathematical statistics; Matematisk statistik; matematisk statistik; Mathematical Statistics;

   Abstract : The thesis treats three different areas; (i) Ranked increments of stable processes and ranked excursions of Brownian motion, (ii) Sufficient capital levels for banks, and (iii) Trading strategies for reduction of the fluctuations of revenues for power plants.The first part is a theoretcial investigation involved with the calculation of distribution functions concerning special properties of stable processes. READ MORE