Sökning: "value at risk commodities"

Visar resultat 1 - 5 av 16 uppsatser innehållade orden value at risk commodities.

  1. 1. Generating Extreme Value Distributions in Finance using Generative Adversarial Networks

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :William Nord-Nilsson; [2023]
    Nyckelord :Extreme Value Theory; Generative Adversarial Networks; Stress Testing; Machine Learning; Convolutional Neural Networks; evtGAN; Extreme Events; Extremvärdesteori; Generativa nätverk; Stresstestning; Maskininlärning; Djupt neuralt nätverk; evtGAN; Extrema händelser;

    Sammanfattning : This thesis aims to develop a new model for stress-testing financial portfolios using Extreme Value Theory (EVT) and General Adversarial Networks (GANs). The current practice of risk management relies on mathematical or historical models, such as Value-at-Risk and expected shortfall. LÄS MER

  3. 2. Forecasting Value-at-Risk using GARCH(1,1) and Neural Networks as Volatility Estimation Methods – A Comparative Study

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

    Författare :Signe Grönberg; Sofia Nilsson; [2022]
    Nyckelord :;

    Sammanfattning : Northvolt was founded in 2015 with the goal to create the world's greenest battery. Today, Northvolt is mainly funded by investors and have suppliers all over the world, which does not come risk free. LÄS MER

  4. 3. Development and testing of a novel solar dryer design with an incorporated heat exchanger - For use in the Himalayan regions

    Master-uppsats, Lunds universitet/Institutionen för energivetenskaper

    Författare :Adam Probert; [2022]
    Nyckelord :Technology and Engineering;

    Sammanfattning : Food scarcity is a common occurrence for farmers in the rural Himalayan regions. As fruits and vegetables are a crucial part of most farmers' diet, food deficiency can become evident in between harvesting periods, when there is no fresh supply. LÄS MER

  5. 4. Estimating expected shortfall using an unconditional peaks-over-threshold method under an extreme value approach

    Kandidat-uppsats, Uppsala universitet/Statistiska institutionen

    Författare :Rikard Wahlström; [2021]
    Nyckelord :expected shortfall; peaks-over-threshold; extreme value theory;

    Sammanfattning : Value-at-Risk (VaR) has long been the standard risk measure in financial risk management. However, VaR suffers from critical shortcomings as a risk measure when it comes to quantifying the most severe risks, which was made especially apparent during the financial crisis of 2007–2008. LÄS MER

  7. 5. Supply Risk Management as a means of achieving World Class Commodity Management

    Master-uppsats, Lunds universitet/Teknisk logistik; Lunds universitet/Institutionen för teknisk ekonomi och logistik

    Författare :Fred Westerberg; Truls Nörgaard Grytli; [2020]
    Nyckelord :Proactive Supply Risk Management; Risk Management; Supply Chain Management; Sourcing; Commodity Management; Single Case Study; Survey; Axis Communication AB; Technology and Engineering;

    Sammanfattning : Background Axis Communications AB is a network surveillance company based in Lund, Sweden, that has experienced steady growth for several years. Axis has no own manufacturing and instead utilize contracted manufacturers around the world. LÄS MER