Accedi

Bibliografie tematiche / Statistic risk / Tesi

Segui questo link per vedere altri tipi di pubblicazioni sul tema: Statistic risk.

Tesi sul tema "Statistic risk"

Autore: Grafiati

Pubblicato: 4 giugno 2021

Ultima modifica: 18 febbraio 2022

Cita una fonte nei formati APA, MLA, Chicago, Harvard e in molti altri stili

Scegli il tipo di fonte:

Vedi i top-50 saggi (tesi di laurea o di dottorato) per l'attività di ricerca sul tema "Statistic risk".

Accanto a ogni fonte nell'elenco di riferimenti c'è un pulsante "Aggiungi alla bibliografia". Premilo e genereremo automaticamente la citazione bibliografica dell'opera scelta nello stile citazionale di cui hai bisogno: APA, MLA, Harvard, Chicago, Vancouver ecc.

Puoi anche scaricare il testo completo della pubblicazione scientifica nel formato .pdf e leggere online l'abstract (il sommario) dell'opera se è presente nei metadati.

Vedi le tesi di molte aree scientifiche e compila una bibliografia corretta.

1

Pouliot, William. "Two applications of U-Statistic type processes to detecting failures in risk models and structural breaks in linear regression models." Thesis, City University London, 2010. http://openaccess.city.ac.uk/1166/.

Testo completo

Abstract (sommario):

This dissertation is concerned with detecting failures in Risk Models and in detecting structural breaks in linear regression models. By applying Theorem 2.1 of Szyszkowicz on U-statistic type process, a number of weak convergence results regarding three weighted partial sum processes are established. It is shown that these partial sum processes share certain invariance properties; estimation risk does not affect their weak convergence results and they are also robust to asymmetries in the error process in linear regression models. There is also an application of the methods developed here to

Gli stili APA, Harvard, Vancouver, ISO e altri

2

Misák, Petr. "Možnosti řízení a minimalizace rizik technologie výroby stavebních materiálů a výrobků pomocí fuzzy logiky a dalších nástrojů risk managementu." Doctoral thesis, Vysoké učení technické v Brně. Fakulta stavební, 2014. http://www.nusl.cz/ntk/nusl-233814.

Testo completo

Abstract (sommario):

The thesis proposes management options and risk minimizing in the field of building materials production technologies and related products using fuzzy logic and other risk management tools. The thesis indicates why some methodologies are not commonly used. The main purpose of this work (thesis) is to propose possible upgrades of standard methods in process capability and risk minimizing related to building materials and products. Markov analysis and fuzzy Markov chains are applied.

Gli stili APA, Harvard, Vancouver, ISO e altri

3

Follestad, Turid. "Stochastic Modelling and Simulation Based Inference of Fish Population Dynamics and Spatial Variation in Disease Risk." Doctoral thesis, Norwegian University of Science and Technology, Faculty of Information Technology, Mathematics and Electrical Engineering, 2003. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-41.

Testo completo

Abstract (sommario):

<p>We present a non-Gaussian and non-linear state-space model for the population dynamics of cod along the Norwegian Skagerak coast, embedded in the framework of a Bayesian hierarchical model. The model takes into account both process error, representing natural variability in the dynamics of a population, and observational error, reflecting the sampling process relating the observed data to true abundances. The data set on which our study is based, consists of samples of two juvenile age-groups of cod taken by beach seine hauls at a set of sample stations within several fjords along the coas

Gli stili APA, Harvard, Vancouver, ISO e altri

4

Eliasson, Hampus. "Values at Risk." Thesis, Uppsala universitet, Statistiska institutionen, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-347408.

Testo completo

Gli stili APA, Harvard, Vancouver, ISO e altri

5

Shen, Hanyang, Bizu Gelaye, Hailiang Huang, Marta B. Rondon, Sixto Sanchez, and Laramie E. Duncan. "Polygenic prediction and GWAS of depression, PTSD, and suicidal ideation/self-harm in a Peruvian cohort." Springer Nature, 2020. http://hdl.handle.net/10757/652459.

Testo completo

Abstract (sommario):

Genome-wide approaches including polygenic risk scores (PRSs) are now widely used in medical research; however, few studies have been conducted in low- and middle-income countries (LMICs), especially in South America. This study was designed to test the transferability of psychiatric PRSs to individuals with different ancestral and cultural backgrounds and to provide genome-wide association study (GWAS) results for psychiatric outcomes in this sample. The PrOMIS cohort (N = 3308) was recruited from prenatal care clinics at the Instituto Nacional Materno Perinatal (INMP) in Lima, Peru. Three ma

Gli stili APA, Harvard, Vancouver, ISO e altri

6

Agering, Harald. "True risk of illiquid investments." Thesis, KTH, Matematik (Inst.), 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-233577.

Testo completo

Abstract (sommario):

Alternative assets are becoming a considerable portion of global financial markets. Some of these alternative assets are highly illiquid, and as such they may require more intricate methods for calculating risk and performance statistics accurately. Research on hedge funds has established a pattern of risk being understated and various measures of performance being overstated due to illiquidity of the assets. This paper sets out to prove the existence of such bias and presents methods for removing it. Four mathematical methods aiming to adjust statistics for sparse return series were considere

Gli stili APA, Harvard, Vancouver, ISO e altri

7

Svindland, Gregor. "Convex Risk Measures Beyond Bounded Risks." Diss., lmu, 2009. http://nbn-resolving.de/urn:nbn:de:bvb:19-97156.

Testo completo

Gli stili APA, Harvard, Vancouver, ISO e altri

8

Tang, Zhaofeng. "Quantitative risk management under systematic and systemic risks." Diss., University of Iowa, 2019. https://ir.uiowa.edu/etd/7035.

Testo completo

Abstract (sommario):

The contemporary risk management practice emphasizes the interplay of multilevel risks, of which the systematic and systemic risks are considered the main culprits of catastrophic losses. With this in mind, this thesis investigates three important topics in quantitative risk management, in which the systematic and systemic risks play a devastating role. First of all, we center on the design of reinsurance policies that accommodate the joint interests of the insurer and reinsurer by drawing upon the celebrated notion of Pareto optimality in the context of a distortion-risk-measure-based model.

Gli stili APA, Harvard, Vancouver, ISO e altri

9

Sandberg, Martina. "Credit Risk Evaluation using Machine Learning." Thesis, Linköpings universitet, Statistik och maskininlärning, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-138968.

Testo completo

Abstract (sommario):

In this thesis, we examine the machine learning models logistic regression, multilayer perceptron and random forests in the purpose of discriminate between good and bad credit applicants. In addition to these models we address the problem of imbalanced data with the Synthetic Minority Over-Sampling Technique (SMOTE). The data available have 273 286 entries and contains information about the invoice of the applicant and the credit decision process as well as information about the applicant. The data was collected during the period 2015-2017. With AUC-values at about 73%some patterns are found t

Gli stili APA, Harvard, Vancouver, ISO e altri

10

Ljung, Carl. "Copula selection and parameter estimation in market risk models." Thesis, KTH, Matematisk statistik, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-204420.

Testo completo

Abstract (sommario):

In this thesis, literature is reviewed for theory regarding elliptical copulas (Gaussian, Student’s t, and Grouped t) and methods for calibrating parametric copulas to sets of observations. Theory regarding model diagnostics is also summarized in the thesis. Historical data of equity indices and government bond rates from several geo-graphical regions along with U.S. corporate bond indices are used as proxies of the most significant stochastic variables in the investment portfolio of If P&C. These historical observations are transformed into pseudo-uniform observations, pseudo-observations

Gli stili APA, Harvard, Vancouver, ISO e altri

11

Lindell, Andreas. "Theoretical and Practical Applications of Probability : Excursions in Brownian Motion, Risk Capital Stress Testing, and Hedging of Power Derivatives." Doctoral thesis, Stockholm : Department of Mathematics, Stockholm university, 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:su:diva-8570.

Testo completo

Gli stili APA, Harvard, Vancouver, ISO e altri

12

Du, Toit Carl. "Modelling market risk with SAS Risk Dimensions : a step by step implementation." Thesis, Link to the online version, 2005. http://hdl.handle.net/10019/1015.

Testo completo

Gli stili APA, Harvard, Vancouver, ISO e altri

13

Ndoumbe, Ebongue Steve Armand. "The risk model for insurance portfolio has been adopted to portfolio of derivatives. Describe the models and compare with a focus on the differences." Thesis, Linnéuniversitetet, Institutionen för datavetenskap, fysik och matematik, DFM, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-11293.

Testo completo

Gli stili APA, Harvard, Vancouver, ISO e altri

14

Kuritzén, Felix. "Alternative Methods of Estimating Investor´s Risk Appetite." Thesis, KTH, Matematisk statistik, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-252564.

Testo completo

Abstract (sommario):

In this thesis three risk appetite indexes are derived and measured from the beginning of 2006 to the end of the first quarter in 2019. One of the risk appetite indexes relies on annualized returns and volatilities from risky and safe assets while the others relies on subjective and risk neutral probability distributions. The distributions are obtained from historical data on equity indexes and from a wide spectrum of option prices with one month until the options expires. All data is provided by Refinitiv through Öhman Fonder. The indexes studied throughout the thesis is provided by authors f

Gli stili APA, Harvard, Vancouver, ISO e altri

15

Lövgren, Andreas, and Joakim Strandberg. "Jämförande av risk för omoperation mellan två operationsmetoder vid ljumskbråck : En tillämpning av överlevnadsanalys." Thesis, Umeå universitet, Statistik, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-160809.

Testo completo

Abstract (sommario):

När män primäropereras för ljumskbråck är praxis att göra det med metoden öppet nät. Om de senare behöver opereras om kan inte öppet nät användas igen utan då används vanligen titthålsmetoder. Vissa blir dock primäropererade med titthålsmetoder. Ungefär en tiondel av alla bråckoperationer i Sverige är en omoperation. Med hjälp av data från Svenskt Bråckregister undersöker denna studie om det finns någon skillnad i risk för omoperation beroende på operationsmetod. För att undersöka det används överlevnadsanalys där hazard ratio för operationsmetod är av intresse. En Cox Proportional Hazard-mode

Gli stili APA, Harvard, Vancouver, ISO e altri

16

Kroon, Rodney Stephen. "A framework for estimating risk." Thesis, Link to the online version, 2008. http://hdl.handle.net/10019.1/1104.

Testo completo

Gli stili APA, Harvard, Vancouver, ISO e altri

17

Styrud, Lovisa. "Risk Premium Prediction of Car Damage Insurance using Artificial Neural Networks and Generalized Linear Models." Thesis, KTH, Matematisk statistik, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-208309.

Testo completo

Abstract (sommario):

Over the last few years the interest in statistical learning methods, in particular artificial neural networks, has reawakened due to increasing computing capacity, available data and a strive towards automatization of different tasks. Artificial neural networks have numerous applications, why they appear in various contexts. Using artificial neural networks in insurance rate making is an area in which a few pioneering studies have been conducted, with promising results. This thesis suggests using a multilayer perceptron neural network for pricing car damage insurance. The MLP is compared with

Gli stili APA, Harvard, Vancouver, ISO e altri

18

Nilsson, Joachim, and Gabriel Adéla. "Reducering utav enkät : Risk mot icke-risk." Thesis, Linköpings universitet, Statistik och maskininlärning, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-179203.

Testo completo

Abstract (sommario):

I denna rapport kommer det jämföras tre modeller inom tre olika metoder som är “Klassisk test teori”, “Itemrespons theory” och “Forward selection” för att undersöka ifall det är möjligt att minska antalet frågor ner tillcirka fyra frågor och ändå kunna prediktera de utfall som erhåller ingen risk i en enkät om spelproblematik medgod säkerhet. För varje metod så kommer det presenteras en modell med två frågor, en modell med fyra frågoroch slutligen en modell med sex frågor samt dess precision på hur väl de kan prediktera de med ingen riskkorrekt. Samtlig modellframtagning använder sig utav en t

Gli stili APA, Harvard, Vancouver, ISO e altri

19

Drakenward, Ellinor, and Emelie Zhao. "Modeling risk and price of all risk insurances with General Linear Models." Thesis, KTH, Matematisk statistik, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-275696.

Testo completo

Abstract (sommario):

Denna kandidatexamen ligger inom området matematisk statistik. I samarbete med försäkringsbolaget Hedvig syftar denna avhandling till att utforska en ny metod för hantering av Hedvigs försäkringsdata genom att bygga en prissättningsmodell för alla riskförsäkringar med generaliserade linjära modeller. Två generaliserade linjära modeller byggdes, där den första förutspår frekvensen för ett anspråk och den andra förutspår svårighetsgraden. De ursprungliga uppgifterna delades in i 9 förklarande variabler. Båda modellerna inkluderade fem förklarande variabler i början och reducerades sedan. Minskni

Gli stili APA, Harvard, Vancouver, ISO e altri

20

Viktorsson, Johan. "The GARCH-copula model for gaugeing time conditional dependence in the risk management of electricity derivatives." Thesis, KTH, Matematisk statistik, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-209966.

Testo completo

Abstract (sommario):

In the risk management of electricity derivatives, time to delivery can be divided into a time grid, with the assumption that within each cell of the grid, volatility is more or less constant. This setup however does not take in to account dependence between the different cells in the time grid. This thesis tries to develop a way to gauge the dependence between electricity derivatives at the different places in the time grid and different delivery periods. More specifically, the aim is to estimate the size of the ratio of the quantile of the sum of price changes against the sum of the marginal

Gli stili APA, Harvard, Vancouver, ISO e altri

21

Ericson, Jesper, and Härje Widing. "Betydelsen av competing risk : En analys av demens utifrån Betulaprojektets datainsamling när konkurrerande utfall tas i beaktande." Thesis, Umeå universitet, Statistik, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-149723.

Testo completo

Abstract (sommario):

Det har studerats mycket inom demensområdet och med hjälp av Betulaprojektets datainsamling har många avhandlingar och artiklar skrivit. Däremot har vikten att ta hänsyn till konkurrerande utfall (competing risk), så som avlida innan utvecklad demens, inte tagits upp i någon större utsträckning. Dessa konkurrerande utfall kan ha en betydande skillnad vid beräkning av sannolikheter att drabbas av demens. Därför är syftet med denna uppsats att beräkna sannolikheter och jämföra olika kategorier av människor och deras risk att drabbas av demens när konkurrerande utfall tas med i beräkningarna. Dat

Gli stili APA, Harvard, Vancouver, ISO e altri

22

Mattsson, Mathias. "Value at Risk estimation : A comparison between different models." Thesis, Uppsala universitet, Statistiska institutionen, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-447229.

Testo completo

Abstract (sommario):

In this thesis the performance of the quantile based CAV iaR models is evaluated and compared with GARCH models for predicting the Value at Risk. This is done by one step ahead out of sample prediction. The one step ahead out of sample prediction is done for the 500 observations at the end of the sample. To calculate the predictions a rolling forecast is used. This means that the sample that is used to do the one step ahead predictions is equally sized for all 500 predictions. Then tests are performed to evaluate the predictive power of the forecasts. The tests that are used to evaluate the pr

Gli stili APA, Harvard, Vancouver, ISO e altri

23

Barkhagen, Mathias. "Risk-Neutral and Physical Estimation of Equity Market Volatility." Licentiate thesis, Linköpings universitet, Produktionsekonomi, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-94360.

Testo completo

Abstract (sommario):

The overall purpose of the PhD project is to develop a framework for making optimal decisions on the equity derivatives markets. Making optimal decisions refers e.g. to how to optimally hedge an options portfolio or how to make optimal investments on the equity derivatives markets. The framework for making optimal decisions will be based on stochastic programming (SP) models, which means that it is necessary to generate high-quality scenarios of market prices at some future date as input to the models. This leads to a situation where the traditional methods, described in the literature, for mo

Gli stili APA, Harvard, Vancouver, ISO e altri

24

Hosini, Rebin. "Detection of high-risk shops in e- commerce." Thesis, Linköpings universitet, Statistik och maskininlärning, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-150191.

Testo completo

Gli stili APA, Harvard, Vancouver, ISO e altri

25

Olaya, Bucaro Orlando. "Predicting risk of cyberbullying victimization using lasso regression." Thesis, Uppsala universitet, Statistiska institutionen, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-338767.

Testo completo

Abstract (sommario):

The increased online presence and use of technology by today’s adolescents has created new places where bullying can occur. The aim of this thesis is to specify a prediction model that can accurately predict the risk of cyberbullying victimization. The data used is from a survey conducted at five secondary schools in Pereira, Colombia. A logistic regression model with random effects is used to predict cyberbullying exposure. Predictors are selected by lasso, tuned by cross-validation. Covariates included in the study includes demographic variables, dietary habit variables, parental mediation v

Gli stili APA, Harvard, Vancouver, ISO e altri

26

Aas, Kjersti. "Statistical Modelling of Financial Risk." Doctoral thesis, Norwegian University of Science and Technology, Department of Mathematical Sciences, 2007. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-1780.

Testo completo

Gli stili APA, Harvard, Vancouver, ISO e altri

27

Gougas, Khawla. "Risk factors impact on the P&L." Thesis, KTH, Matematisk statistik, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-284223.

Testo completo

Abstract (sommario):

Profit and Loss (P&L) explain analysis is an income statement produced by Product Control Team for traders to control the daily fluctuation in the value of a portfolio of trades to the root causes of the changes. This daily income provides users with a coherent breakdown of the drivers of P&L movements between two points in time with reference to a selected number of easily understandable pricing factors. P&L Attribution (also called P&L explain) can be calculated in two ways, either the risk based method or step re-evaluation method. This paper aims at understanding both metho

Gli stili APA, Harvard, Vancouver, ISO e altri

28

Orrenius, Johan. "Optimal mass transport: a viable alternative to copulas in financial risk modeling?" Thesis, KTH, Matematik (Inst.), 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-231829.

Testo completo

Abstract (sommario):

Copulas as a description of joint probability distributions is today common when modeling financial risk. The optimal mass transport problem also describes dependence structures, although it is not well explored. This thesis explores the dependence structures of the entropy regularized optimal mass transport problem. The basic copula properties are replicated for the optimal mass transport problem. The estimation of the parameters of the optimal mass transport problem is attempted using a maximum likelihood analogy, but only successful when observing the general tendencies on a grid of the par

Gli stili APA, Harvard, Vancouver, ISO e altri

29

Friedlander, Michael Arthur. "A robust non-time series approach for valuation of weather derivativesand related products." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2011. http://hub.hku.hk/bib/B47147234.

Testo completo

Gli stili APA, Harvard, Vancouver, ISO e altri

30

Jesper, Brodin, and Kenny Nilsson. "Mitt i prick? : En utvärdering av SCB:s metod för befolkningsframskrivningar på riks- och lokal nivå." Thesis, Örebro universitet, Handelshögskolan vid Örebro universitet, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:oru:diva-16480.

Testo completo

Abstract (sommario):

I denna uppsats utvärderar författarna den metod Statistiska Centralbyrån använder sig av vid befolkningsframskrivningar. Metoden fungerar relativt bra vid prognoser över totalbefolkningen, men det visade sig att det blev problem med prognosen av individer i mycket unga och mycket äldre åldrar.

Gli stili APA, Harvard, Vancouver, ISO e altri

31

Armerin, Fredrik. "Aspects of cash flow valuation /." Doctoral thesis, Stockholm, 2004. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-76.

Testo completo

Gli stili APA, Harvard, Vancouver, ISO e altri

32

Tamáskovics, Nándor, Günter Meier, Sarah Braun, and Bodo Schlesinger. "Statistisches Konzept zur Risikoanalyse von Tagesbrüchen über natürlichen und künstlichen Hohlräumen." Technische Universitaet Bergakademie Freiberg Universitaetsbibliothek "Georgius Agricola", 2017. http://nbn-resolving.de/urn:nbn:de:bsz:105-qucosa-228430.

Testo completo

Abstract (sommario):

Die Nutzung von Flächen mit Altbergbau oder mit natürlichen Hohlräumen im Unter- und Baugrund ist mit erhöhten Risiken behaftet, dass Bauwerke durch unerwünschte Deformationen des Baugrundes in Mitleidenschaft gezogen werden. Eine typische Versagensart ist die Entwicklung von Tagesbrüchen oder Erdfällen, wobei sich Massen in Richtung von Hohlräumen im Unterund und Baugrund verlagern und auflockern. Die Umlagerung von Massen setzt sich solange fort, bis sich ein statisches Gleichgewicht einstellt und eine weitere Fortpflanzung des Bruchvorganges verhindert oder stark reduziert. Die Ermittlung d

Gli stili APA, Harvard, Vancouver, ISO e altri

33

Hosseini, Mohamadreza. "Statistical models for agroclimate risk analysis." Thesis, University of British Columbia, 2009. http://hdl.handle.net/2429/16019.

Testo completo

Abstract (sommario):

In order to model the binary process of precipitation and the dichotomized temperature process, we use the conditional probability of the present given the past. We find necessary and sufficient conditions for a collection of functions to correspond to the conditional probabilities of a discrete-time categorical stochastic process X₁,X₂,···. Moreover we find parametric representations for such processes and in particular rth-order Markov chains. To dichotomize the temperature process, quantiles are often used in the literature. We propose using a two-state definition of the quantiles by consi

Gli stili APA, Harvard, Vancouver, ISO e altri

34

Boman, Victor. "A comparison of multivariate GARCH models with respect to Value at Risk." Thesis, Uppsala universitet, Statistiska institutionen, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-385521.

Testo completo

Abstract (sommario):

Since the introduction univariate GARCH models number of available models have grown rapidly and has been extended to the multivariate area. This paper compares three different multivariate GARCH models and they are evaluated using out of sample Value at Risk of dif- ferent portfolios. Sector portfolios are used with different market capitalization. The models compared are the DCC,CCC and the GO-Garch model. The forecast horizon is 1-day, 5-day and 10-day ahead forecast of the estimated VaR limit. The DCC performs best with regards to both conditional anc unconditional violations of the VaR es

Gli stili APA, Harvard, Vancouver, ISO e altri

35

he, xiaofeng. "CREDIT CYCLE, CREDIT RISK AND BUSINESS CONDITIONS." NCSU, 2001. http://www.lib.ncsu.edu/theses/available/etd-20010718-110156.

Testo completo

Abstract (sommario):

<p>We first present a Complex Singular Value Decomposition (CSVD)analysis of credit cyle and explore the lead-lag relation betweencredit cycle and business cycle, then propose a GeneralizedLinear Model (GLM) of credit rating transition probabilitiesunder the impact of business conditions.To detect the cyclic trend existence of credit condition in U.S.economy, all credit variables and business variables aretransformed to complex values and the transformed data matrix isapproximated by first order of CSVD analysis. We show that theeconomy, represented by both credit conditions and businesscondit

Gli stili APA, Harvard, Vancouver, ISO e altri

36

Fallman, David, and Jens Wirf. "FORECASTING FOREIGN EXCHANGE VOLATILITY FOR VALUE AT RISK : CAN REALIZED VOLATILITY OUTPERFORM GARCH PREDICTIONS?" Thesis, Uppsala universitet, Statistiska institutionen, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-146571.

Testo completo

Abstract (sommario):

In this paper we use model-free estimates of daily exchange rate volatilities employing high-frequency intraday data, known as Realized Volatility, which is then forecasted with ARMA-models and used to produce one-day-ahead Value-at-Risk predictions. The forecasting accuracy of the method is contrasted against the more widely used ARCH-models based on daily squared returns. Our results indicate that the ARCH-models tend to underestimate the Value-at-Risk in foreign exchange markets compared to models using Realized Volatility

Gli stili APA, Harvard, Vancouver, ISO e altri

37

Johnson, David G. "Representations of uncertainty in risk analysis." Thesis, Loughborough University, 1998. https://dspace.lboro.ac.uk/2134/31941.

Testo completo

Abstract (sommario):

Uncertainty in situations involving risk is frequently modelled by assuming a plausible form of probability distribution for the uncertain quantities involved, and estimating the relevant parameters of that distribution based on the knowledge and judgement of informed experts or decision makers. The distributions assumed are usually uni-modal (and often bell-shaped) around some most likely value, with the Normal, Beta, Gamma and Triangular distributions being popular choices.

Gli stili APA, Harvard, Vancouver, ISO e altri

38

Sjöstrand, Maria, and Özlem Aktaş. "Cornish-Fisher Expansion and Value-at-Risk method in application to risk management of large portfolios." Thesis, Högskolan i Halmstad, Tillämpad matematik och fysik (MPE-lab), 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-16274.

Testo completo

Abstract (sommario):

One of the major problem faced by banks is how to manage the risk exposure in large portfolios. According to Basel II regulation banks has to measure the risk using Value-at-Risk with confidence level 99%. However, this regulation does not specify the way to calculate Valueat- Risk. The easiest way to calculate Value-at-Risk is to assume that portfolio returns are normally distributed. Altough, this is the most common way to calculate Value-at-Risk, there exists also other methods. The previous crisis shows that the regular methods are unfortunately not always enough to prevent bankruptcy. Thi

Gli stili APA, Harvard, Vancouver, ISO e altri

39

Nguyen, Ngoc Bien. "Adaptation via des inéqualités d'oracle dans le modèle de regression avec design aléatoire." Thesis, Aix-Marseille, 2014. http://www.theses.fr/2014AIXM4716/document.

Testo completo

Abstract (sommario):

À partir des observations Z(n) = {(Xi, Yi), i = 1, ..., n} satisfaisant Yi = f(Xi) + ζi, nous voulons reconstruire la fonction f. Nous évaluons la qualité d'estimation par deux critères : le risque Ls et le risque uniforme. Dans ces deux cas, les hypothèses imposées sur la distribution du bruit ζi serons de moment borné et de type sous-gaussien respectivement. En proposant une collection des estimateurs à noyau, nous construisons une procédure, qui est initié par Goldenshluger et Lepski, pour choisir l'estimateur dans cette collection, sans aucune condition sur f. Nous prouvons ensuite que cet

Gli stili APA, Harvard, Vancouver, ISO e altri

40

Nicolau, González Guillermo. "Cortocircuitos en redes AT e impactos en distribución MT." Doctoral thesis, Universitat Ramon Llull, 2012. http://hdl.handle.net/10803/83709.

Testo completo

Abstract (sommario):

L’extensa implantació del control digital als entorns industrials, científics, comercials, professionals i domèstics ha revelat, d’ençà dues dècades, la gran sensibilitat d’aquests dispositius davant sobtats i breus descensos de tensió al subministrament elèctric de xarxa: aturades de plantes a processos productius, re – arrancades a processadors i sistemes de telecomunicació, etc.; i la causa sol esdevenir aparentment inexplicable pels usuaris. La normalització de les conseqüències, però, pot equivaler a un dia sencer de producció nul•la. L’ínfima correlació mostrada pels fenòmens esmentats

Gli stili APA, Harvard, Vancouver, ISO e altri

41

Jiang, Jieyi Jiang. "Realistic Predictive Risk: The Role of Penalty and Covariate Diffusion in Model Selection." The Ohio State University, 2017. http://rave.ohiolink.edu/etdc/view?acc_num=osu1503072235693181.

Testo completo

Gli stili APA, Harvard, Vancouver, ISO e altri

42

Park, Changyi. "Generalization error rates for margin-based classifiers." Connect to resource, 2005. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1124282485.

Testo completo

Abstract (sommario):

Thesis (Ph. D.)--Ohio State University, 2005.<br>Title from first page of PDF file. Document formatted into pages; contains ix, 63 p.; also includes graphics (some col.). Includes bibliographical references (p. 60-63). Available online via OhioLINK's ETD Center

Gli stili APA, Harvard, Vancouver, ISO e altri

43

Babuscia, Alessandra. "Statistical risk estimation for communication system design." Thesis, Massachusetts Institute of Technology, 2012. http://hdl.handle.net/1721.1/76087.

Testo completo

Abstract (sommario):

Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Aeronautics and Astronautics, 2012.<br>Cataloged from PDF version of thesis.<br>Includes bibliographical references (p. 281-295).<br>Spacecraft are complex systems that involve many subsystems and multiple relationships among them. The design of a spacecraft is an evolutionary process that starts from requirements and evolves over time. During this process, changes can affect mass and power at component, subsystem, and system level. Each spacecraft has to respect overall constraints in terms of mass and power. The current practic

Gli stili APA, Harvard, Vancouver, ISO e altri

44

Abbas, Sawsan. "Statistical methodologies for financial market risk management." Thesis, Lancaster University, 2010. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.547964.

Testo completo

Gli stili APA, Harvard, Vancouver, ISO e altri

45

Racheva-Iotova, Borjana. "An Integrated System for Market Risk, Credit Risk and Portfolio Optimization Based on Heavy-Tailed Medols and Downside Risk Measures." Diss., lmu, 2010. http://nbn-resolving.de/urn:nbn:de:bvb:19-123750.

Testo completo

Gli stili APA, Harvard, Vancouver, ISO e altri

46

Rufer, Jiří. "Statistické modelování rizikových indikátorů firmy." Master's thesis, Vysoké učení technické v Brně. Ústav soudního inženýrství, 2019. http://www.nusl.cz/ntk/nusl-402655.

Testo completo

Abstract (sommario):

This thesis aims to analyze accounting and financial indicators using time series methods and interval regression analysis for Rudolf Jelínek, a.s. In this thesis are analyzed development trends of individual indicators. Based on the obtained data, the company deals with the risks of the company based on analyzes and their solutions.

Gli stili APA, Harvard, Vancouver, ISO e altri

47

Herrera, Rodrigo. "Statistics of Multivariate Extremes with Applications in Risk Management." Doctoral thesis, Saechsische Landesbibliothek- Staats- und Universitaetsbibliothek Dresden, 2009. http://nbn-resolving.de/urn:nbn:de:bsz:14-qucosa-24962.

Testo completo

Abstract (sommario):

The contributions of this thesis have mainly a dual purpose: introducing several multivariate statistical methodologies where in the major of the cases only stationary of the random variables is assumed, and also highlight some of the applied problems in risk management where extreme value theory may play a role. Mostly every chapter is selfcontained, they have its own more detailed introduction and short conclusion<br>Die Kontributionen von dieser Dissertation haben ein doppeltes Ziel: die Darstellung von vielen multivariaten statistischen Verfahren, wobei in der Mehrheit der Fälle nur Statio

Gli stili APA, Harvard, Vancouver, ISO e altri

48

Keefe, Matthew James. "Statistical Monitoring and Modeling for Spatial Processes." Diss., Virginia Tech, 2017. http://hdl.handle.net/10919/76664.

Testo completo

Abstract (sommario):

Statistical process monitoring and hierarchical Bayesian modeling are two ways to learn more about processes of interest. In this work, we consider two main components: risk-adjusted monitoring and Bayesian hierarchical models for spatial data. Usually, if prior information about a process is known, it is important to incorporate this into the monitoring scheme. For example, when monitoring 30-day mortality rates after surgery, the pre-operative risk of patients based on health characteristics is often an indicator of how likely the surgery is to succeed. In these cases, risk-adjusted monitori

Gli stili APA, Harvard, Vancouver, ISO e altri

49

Yener, Tina. "Risk management beyond correlation." Diss., lmu, 2011. http://nbn-resolving.de/urn:nbn:de:bvb:19-142730.

Testo completo

Gli stili APA, Harvard, Vancouver, ISO e altri

50

Manasse, Paul Reuben. "Time-dependent stochastic models for fire risk assessment." Thesis, University of Liverpool, 1991. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.317171.

Testo completo

Gli stili APA, Harvard, Vancouver, ISO e altri

Offriamo sconti su tutti i piani premium per gli autori le cui opere sono incluse in raccolte letterarie tematiche. Contattaci per ottenere un codice promozionale unico!