Sökning: "Forecast Horizon"

Visar resultat 16 - 20 av 45 uppsatser innehållade orden Forecast Horizon.

1. 16. Backtesting of simulated method for Counterparty Credit Risk

   Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för matematik och matematisk statistik

   Författare :Love Lundström; Oscar Öhman; [2020]
   Nyckelord :Counterparty Credit Risk; Risk Factor; Monte Carlo Simulation; Quantitative Backtesting; Statistical Backtesting; OTC Derivative;

   Sammanfattning : After the financial crisis of 2008 regulators found that the derivative market, where financial institutions traded OTC derivatives with each other, played a significantrole in triggering the crisis. This led to the emergence of Counterparty Credit Risk(CCR) which is used to measure the exposure banks have to their counterparties. LÄS MER

3. 17. Forecasting the Regulating Price in the Finnish Energy Market using the Multi-Horizon Quantile Recurrent Neural Network

   Master-uppsats, Lunds universitet/Matematisk statistik

   Författare :Thomas Hamfelt; [2020]
   Nyckelord :Energy; Finland; Regulating market; Balancing market; Deep learning; Quantile regression; Time series analysis.; Mathematics and Statistics;

   Sammanfattning : In recent years there has been a large increase in available data from the electric grid in Finland. The availability of both operational as well as financial data enables exploration of forecasting energy prices using deep learning techniques. LÄS MER

4. 18. IFRS 16 - A Necessary Close of an Accounting Loophole? : A Quantitative Study on how the Market Evaluates Off-Balance Sheet Operating Leases

   D-uppsats, Handelshögskolan i Stockholm/Institutionen för redovisning och finansiering

   Författare :Anna Widemar; Julia Gustafsson; [2020]
   Nyckelord :Operating Leases; Discounted Cash Flow; Value Added Valuation; IFRS 16; Value Relevance;

   Sammanfattning : With the aim to clarify whether there is a difference in value relevance between disclosed and recognized information on operating leases, this thesis investigates how investors on the Stockholm Stock Exchange treated operating leases in share price formation under IAS 17. Using Value Added Valuation and Discounted Cash Flow valuation we compare two different scenarios. LÄS MER

5. 19. Improving Planning Stability : A case study of Planning at AstraZeneca

   Master-uppsats, Linköpings universitet/Produktionsekonomi

   Författare :Sahil Ahmed; Olof Schippert; [2020]
   Nyckelord :Production Planning; Master Production Scheduling; Material Requirement Planning; Stability;

   Sammanfattning : To provide high service level, an organisation must maintain flexibility in production planning. This allows them to react to changes in demand and supply information. Changes in production plan decreases planning stability. Low stability has knock on effect on supply of material. LÄS MER

7. 20. A comparison of multivariate GARCH models with respect to Value at Risk

   Master-uppsats, Uppsala universitet/Statistiska institutionen

   Författare :Victor Boman; [2019]
   Nyckelord :multivariate GARCH; Value at Risk; forecasting; conditional correlation;

   Sammanfattning : 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. LÄS MER