Sökning: "Lisa wimmerstedt"

Hittade 4 uppsatser innehållade orden Lisa wimmerstedt.

  1. 1. Backtesting Expected Shortfall: the design and implementation of different backtests

    Master-uppsats, KTH/Matematisk statistik

    Författare :Lisa Wimmerstedt; [2015]
    Nyckelord :Expected Shortfall; Backtests; Value-at-Risk; Elicitability;

    Sammanfattning : In recent years, the question of whether Expected Shortfall is possible to backtest has been a hot topic after the findings of Gneiting in 2011 that Expected Shortfall lacks a mathematical property called elicitability. However, new research has indicated that backtesting of Expected Shortfall is in fact possible and that it does not have to be very difficult. LÄS MER

  3. 2. Regressionsanalys av tillströmningen till svenska universitet och högskolor : -en studie av variationen i antalet inskrivna studenter

    Kandidat-uppsats, KTH/Matematik (Inst.)

    Författare :Lisa Wimmerstedt; [2014]
    Nyckelord :;

    Sammanfattning : Syftet med Sveriges utbildningssystem är att göra det möjligt för alla, oavsett ekonomisk förutsättning, att tillgodogöra sig en högskoleexamen. Trots det är det långt ifrån alla som väljer att utnyttja den rättigheten. LÄS MER

  4. 3. Parametric Estimation of Value at Risk

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Lisa Wimmerstedt; [2013]
    Nyckelord :Value at Risk; Parametric methods; Risk management; Volatility models; Basle capital charges;

    Sammanfattning : Previous research has shown that the non-parametric Value at Risk methods normally used by financial institutions are conservative and that violations often happen in clusters. While earlier research has found efficiency gains from using parametric methods over non-parametric methods, a majority of the studies have been carried out on equity indices. LÄS MER

  5. 4. The optimal Inflation Target with respect to Swedish Unemployment

    C-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Författare :Arvid Eriksson; Lisa Wimmerstedt; [2011]
    Nyckelord :Inflation; Unemployment; Near-rationality; Inflation target;

    Sammanfattning : The rise in unemployment experienced by Sweden in recent decades is assumed to be uncorrelated with the low rate of inflation. The generally accepted theory of a long-run vertical Phillips curve has lately been questioned by studies that show that a long-run trade-off between inflation and unemployment may exist at low levels of inflation. LÄS MER