subject:(Conditional Value at Risk)

Linnaeus University

1. Jiang, Xin. Risk Analysis of Wind Energy Company Stocks.

Degree: Mathematics, 2020, Linnaeus University

URL: http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-98039

► In this thesis, probability theory and risk analysis are used to determine the riskof wind energy stocks. Three stocks of wind energy companies and… (more)

Subjects/Keywords: Probability theory; risk analysis; variance; value at risk; conditional value at risk.; Mathematics; Matematik

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APA (6^th Edition):

Jiang, X. (2020). Risk Analysis of Wind Energy Company Stocks. (Thesis). Linnaeus University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-98039

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Jiang, Xin. “Risk Analysis of Wind Energy Company Stocks.” 2020. Thesis, Linnaeus University. Accessed January 19, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-98039.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Jiang, Xin. “Risk Analysis of Wind Energy Company Stocks.” 2020. Web. 19 Jan 2021.

Vancouver:

Jiang X. Risk Analysis of Wind Energy Company Stocks. [Internet] [Thesis]. Linnaeus University; 2020. [cited 2021 Jan 19]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-98039.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Jiang X. Risk Analysis of Wind Energy Company Stocks. [Thesis]. Linnaeus University; 2020. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-98039

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

2. Tamashiro, Andre Takeshi. Riscos de mercado na comercialização de energia: uma abordagem via complementação energética e gestão de portfólio de projetos, considerando a mitigação de incertezas da geração eólica.

Degree: Mestrado, Sistemas de Potência, 2014, University of São Paulo

URL: http://www.teses.usp.br/teses/disponiveis/3/3143/tde-19032015-162048/ ;

►

No setor elétrico brasileiro as fontes renováveis de energia têm se tornadas atrativas do ponto de vista do investidor devido não só aos incentivos de… (more)

▼

No setor elétrico brasileiro as fontes renováveis de energia têm se tornadas atrativas do ponto de vista do investidor devido não só aos incentivos de política de governo, como também por exibirem uma elevada competitividade, além da sinergia proveniente da complementariedade energética entre essas fontes. Por outro lado,a tomada de decisão de investimento em empreendimentos de geração tem se caracterizado cada vez mais como um processo complexo e arriscado, devido à potencial perda financeira decorrente de um fluxo de caixa bastante irregular, fundamentalmente em função da interação no mercado de curto prazo. Este trabalho descreve o problema e a solução para um investidor caracterizado por sua aversão ou apetite ao risco otimizando os recursos com restrição de risco (VaR, CVaR mesclado com conceito do CFaR). Os resultados mostram que para parâmetros usuais que condicionam o risco financeiro, tais como,(i) a taxa de investimento, (ii) preço de contrato de venda e (iii) custo de investimento, o modelo busca a solução para a melhor alocação de investimento, representada por um portfólio ótimo de projetos, respeitando limites fixados para o montante a ser investido e o risco financeiro correspondente. De forma geral, a conceituação da medida de aversão a risco e sua implementação no modelo de otimização desenvolvido permitiram obter resultados robustos para o tipo de problema abordado e a diversidade de situações analisada a partir de estudos de caso.

Brazilian electricity sector in renewable energy sources has become attractive from the investor point of view not only because of government policy incentives, but also to exhibit a high competitiveness beyond energy synergy from the complementarity between energy sources. However, the decision making of investments in generation capacity has come to characterize a complex and risky process, because of the potential financial loss resulting from a highly irregular cash flow, mainly due to the interaction in the short-term market. This paper describes the problem and solution for the risk averse investor optimizing financial resources constrained risk (VaR, CVaR merged with the concept CFaR). The results show that for the risk factors, as for instance, investment rate, sales price and cost of investment contract, the model responds within the limits of tax risks. In general, the concept of measure of risk aversion and its implementation in the optimization model developed is shown robust to the type of problem addressed.

Advisors/Committee Members: Ramos, Dorel Soares.

Subjects/Keywords: Algoritmo genético; Comercialização de energia; Conditional-Value-at-Risk; Conditional-Value-at-Risk; Energy trading; Genetic algorithm; Optimization; Otimização; Portfolio selection; Seleção de portfólios; Value-at-Risk; Value-at-Risk

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APA (6^th Edition):

Tamashiro, A. T. (2014). Riscos de mercado na comercialização de energia: uma abordagem via complementação energética e gestão de portfólio de projetos, considerando a mitigação de incertezas da geração eólica. (Masters Thesis). University of São Paulo. Retrieved from http://www.teses.usp.br/teses/disponiveis/3/3143/tde-19032015-162048/ ;

Chicago Manual of Style (16^th Edition):

Tamashiro, Andre Takeshi. “Riscos de mercado na comercialização de energia: uma abordagem via complementação energética e gestão de portfólio de projetos, considerando a mitigação de incertezas da geração eólica.” 2014. Masters Thesis, University of São Paulo. Accessed January 19, 2021. http://www.teses.usp.br/teses/disponiveis/3/3143/tde-19032015-162048/ ;.

MLA Handbook (7^th Edition):

Tamashiro, Andre Takeshi. “Riscos de mercado na comercialização de energia: uma abordagem via complementação energética e gestão de portfólio de projetos, considerando a mitigação de incertezas da geração eólica.” 2014. Web. 19 Jan 2021.

Vancouver:

Tamashiro AT. Riscos de mercado na comercialização de energia: uma abordagem via complementação energética e gestão de portfólio de projetos, considerando a mitigação de incertezas da geração eólica. [Internet] [Masters thesis]. University of São Paulo; 2014. [cited 2021 Jan 19]. Available from: http://www.teses.usp.br/teses/disponiveis/3/3143/tde-19032015-162048/ ;.

Council of Science Editors:

Tamashiro AT. Riscos de mercado na comercialização de energia: uma abordagem via complementação energética e gestão de portfólio de projetos, considerando a mitigação de incertezas da geração eólica. [Masters Thesis]. University of São Paulo; 2014. Available from: http://www.teses.usp.br/teses/disponiveis/3/3143/tde-19032015-162048/ ;

Penn State University

3. Wang, Chuan-Sheng. SEMIPARAMETRIC ESTIMATION AND INFERENCE FOR CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL.

Degree: 2018, Penn State University

URL: https://submit-etda.libraries.psu.edu/catalog/15123czw5227

► Conditional Value-at-Risk (hereafter, CVaR) and Expected Shortfall (CES) play an important role in financial risk management. Parametric CVaR and CES enjoy both nice interpretation and… (more)

Subjects/Keywords: Bootstrap; Conditional expected shortfall; Conditional Value-at-Risk; Nonlinear time series; Quantile regression; Semiparametric methods

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APA (6^th Edition):

Wang, C. (2018). SEMIPARAMETRIC ESTIMATION AND INFERENCE FOR CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL. (Thesis). Penn State University. Retrieved from https://submit-etda.libraries.psu.edu/catalog/15123czw5227

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Wang, Chuan-Sheng. “SEMIPARAMETRIC ESTIMATION AND INFERENCE FOR CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL.” 2018. Thesis, Penn State University. Accessed January 19, 2021. https://submit-etda.libraries.psu.edu/catalog/15123czw5227.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Wang, Chuan-Sheng. “SEMIPARAMETRIC ESTIMATION AND INFERENCE FOR CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL.” 2018. Web. 19 Jan 2021.

Vancouver:

Wang C. SEMIPARAMETRIC ESTIMATION AND INFERENCE FOR CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL. [Internet] [Thesis]. Penn State University; 2018. [cited 2021 Jan 19]. Available from: https://submit-etda.libraries.psu.edu/catalog/15123czw5227.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Wang C. SEMIPARAMETRIC ESTIMATION AND INFERENCE FOR CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL. [Thesis]. Penn State University; 2018. Available from: https://submit-etda.libraries.psu.edu/catalog/15123czw5227

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Universidade Nova

4. Peixoto, Carla Sofia Nobre. What is the value of value-at-risk after all?: A conditional approach using quantile regressions.

Degree: 2009, Universidade Nova

URL: http://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/9475

►

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business… (more)

Subjects/Keywords: Value-at-risk; Conditional approach; Quantile regression; Out-of-sample forecasting

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APA (6^th Edition):

Peixoto, C. S. N. (2009). What is the value of value-at-risk after all?: A conditional approach using quantile regressions. (Thesis). Universidade Nova. Retrieved from http://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/9475

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Peixoto, Carla Sofia Nobre. “What is the value of value-at-risk after all?: A conditional approach using quantile regressions.” 2009. Thesis, Universidade Nova. Accessed January 19, 2021. http://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/9475.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Peixoto, Carla Sofia Nobre. “What is the value of value-at-risk after all?: A conditional approach using quantile regressions.” 2009. Web. 19 Jan 2021.

Vancouver:

Peixoto CSN. What is the value of value-at-risk after all?: A conditional approach using quantile regressions. [Internet] [Thesis]. Universidade Nova; 2009. [cited 2021 Jan 19]. Available from: http://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/9475.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Peixoto CSN. What is the value of value-at-risk after all?: A conditional approach using quantile regressions. [Thesis]. Universidade Nova; 2009. Available from: http://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/9475

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Uppsala University

5. Hartman, Joel. Forecasting Conditional Correlation for Exchange Rates using Multivariate GARCH models with Historical Value-at-Risk application.

Degree: Economics, 2013, Uppsala University

URL: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-202710

► The generalization from the univariate volatility model into a multivariate approach opens up a variety of modeling possibilities. This study aims to examine the… (more)

Subjects/Keywords: multivariate GARCH; exchange rates; conditional correlation; forecasting; Value-at-Risk

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Hartman, J. (2013). Forecasting Conditional Correlation for Exchange Rates using Multivariate GARCH models with Historical Value-at-Risk application. (Thesis). Uppsala University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-202710

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Hartman, Joel. “Forecasting Conditional Correlation for Exchange Rates using Multivariate GARCH models with Historical Value-at-Risk application.” 2013. Thesis, Uppsala University. Accessed January 19, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-202710.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Hartman, Joel. “Forecasting Conditional Correlation for Exchange Rates using Multivariate GARCH models with Historical Value-at-Risk application.” 2013. Web. 19 Jan 2021.

Vancouver:

Hartman J. Forecasting Conditional Correlation for Exchange Rates using Multivariate GARCH models with Historical Value-at-Risk application. [Internet] [Thesis]. Uppsala University; 2013. [cited 2021 Jan 19]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-202710.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Hartman J. Forecasting Conditional Correlation for Exchange Rates using Multivariate GARCH models with Historical Value-at-Risk application. [Thesis]. Uppsala University; 2013. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-202710

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Rice University

6. Markowski, Mae. Newton-Based Methods for Smoothed Risk-Averse PDE-Constrained Optimization Problems.

Degree: MA, Engineering, 2019, Rice University

URL: http://hdl.handle.net/1911/107436

► This thesis introduces a modification for traditional, Newton-based methods to improve the efficiency of solving smoothed, risk-averse PDE-constrained optimization problems arising from optimal control applications.… (more)

Subjects/Keywords: Optimization under uncertainty; Conditional Value-at-Risk; PDE-Constrained Optimization

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APA (6^th Edition):

Markowski, M. (2019). Newton-Based Methods for Smoothed Risk-Averse PDE-Constrained Optimization Problems. (Masters Thesis). Rice University. Retrieved from http://hdl.handle.net/1911/107436

Chicago Manual of Style (16^th Edition):

Markowski, Mae. “Newton-Based Methods for Smoothed Risk-Averse PDE-Constrained Optimization Problems.” 2019. Masters Thesis, Rice University. Accessed January 19, 2021. http://hdl.handle.net/1911/107436.

MLA Handbook (7^th Edition):

Markowski, Mae. “Newton-Based Methods for Smoothed Risk-Averse PDE-Constrained Optimization Problems.” 2019. Web. 19 Jan 2021.

Vancouver:

Markowski M. Newton-Based Methods for Smoothed Risk-Averse PDE-Constrained Optimization Problems. [Internet] [Masters thesis]. Rice University; 2019. [cited 2021 Jan 19]. Available from: http://hdl.handle.net/1911/107436.

Council of Science Editors:

Markowski M. Newton-Based Methods for Smoothed Risk-Averse PDE-Constrained Optimization Problems. [Masters Thesis]. Rice University; 2019. Available from: http://hdl.handle.net/1911/107436

Delft University of Technology

7. Venkatasubramanian, Janani (author). Tractable Stochastic Model Predictive Control using Conditional Value at Risk Optimization.

Degree: 2018, Delft University of Technology

URL: http://resolver.tudelft.nl/uuid:17334efc-74b5-4457-8083-4d0b1d52df40

►

A numerically tractable Stochastic Model Predictive Control (SMPC) strategy using Conditional Value at Risk (CVaR) optimization for discrete-time linear time-invariant systems, with state and input… (more)

▼

A numerically tractable Stochastic Model Predictive Control (SMPC) strategy using Conditional Value at Risk (CVaR) optimization for discrete-time linear time-invariant systems, with state and input constraints, subject to additive uncertainty, is presented. SMPC strategies make use of the probabilistic description of uncertainty to define chance constraints which allow a certain admissible level of constraint violation. SMPC strategies require the initial state of a system to be within a particular set, referred to as feasibility set, probabilistically, such that the derived control input, when applied to the system, gives rise to states that are also within the feasibility set satisfying all chance constraints on the system. This leads to recursive feasibility of the SMPC strategy. Such strategies are restrictive in nature when the uncertainty in the system is unbounded, as in the case of White Gaussian noise. In such a case, the feasibility set is very small and leads to a strategy that is very conservative. To reduce this conservatism, some constraint violations are permitted. However, such violations affect the closed-loop behaviour of the system leading to performance degradation. This performance degradation can be quantified as a penalty on the system for violating constraints, and intuitively, it can be thought of as a risk taken by the system in that undesirable state. An approach following the exact penalty method is proposed using the CVaR function to determine the penalty cost. The same optimal solution as the original constrained problem is obtained from a single unconstrained minimization. Since accurate computation of the expected value of risk using the CVaR function is not possible, a scenario-based approximation of the CVaR is used to obtain an overall tractable and computationally efficient SMPC strategy. An extensive simulation study of the double integrator system is provided to present the functionality of the proposed method.

Electrical Engineering

Advisors/Committee Members: Keviczky, Tamas (mentor), Rostampour Samarin, Vahab (mentor), Delft University of Technology (degree granting institution).

Subjects/Keywords: Stochastic Model Predictive Control; Conditional Value at Risk; Scenario Optimization

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APA (6^th Edition):

Venkatasubramanian, J. (. (2018). Tractable Stochastic Model Predictive Control using Conditional Value at Risk Optimization. (Masters Thesis). Delft University of Technology. Retrieved from http://resolver.tudelft.nl/uuid:17334efc-74b5-4457-8083-4d0b1d52df40

Chicago Manual of Style (16^th Edition):

Venkatasubramanian, Janani (author). “Tractable Stochastic Model Predictive Control using Conditional Value at Risk Optimization.” 2018. Masters Thesis, Delft University of Technology. Accessed January 19, 2021. http://resolver.tudelft.nl/uuid:17334efc-74b5-4457-8083-4d0b1d52df40.

MLA Handbook (7^th Edition):

Venkatasubramanian, Janani (author). “Tractable Stochastic Model Predictive Control using Conditional Value at Risk Optimization.” 2018. Web. 19 Jan 2021.

Vancouver:

Venkatasubramanian J(. Tractable Stochastic Model Predictive Control using Conditional Value at Risk Optimization. [Internet] [Masters thesis]. Delft University of Technology; 2018. [cited 2021 Jan 19]. Available from: http://resolver.tudelft.nl/uuid:17334efc-74b5-4457-8083-4d0b1d52df40.

Council of Science Editors:

Venkatasubramanian J(. Tractable Stochastic Model Predictive Control using Conditional Value at Risk Optimization. [Masters Thesis]. Delft University of Technology; 2018. Available from: http://resolver.tudelft.nl/uuid:17334efc-74b5-4457-8083-4d0b1d52df40

Colorado School of Mines

8. Arigoni, Ashley. Optimization techniques in coal markets: a global cost minimization and a multi-stage procurement strategy.

Degree: PhD, Mechanical Engineering, 2016, Colorado School of Mines

URL: http://hdl.handle.net/11124/170660

► Thermal coal is a prominent resource from which electricity is produced. In recent years, the price of this widely used commodity has declined, largely due… (more)

▼ Thermal coal is a prominent resource from which electricity is produced. In recent years, the price of this widely used commodity has declined, largely due to increases in environmental regulations, incentives for renewable resources, and technological advances in the production of natural gas, which is a cleaner-burning alternative fuel. As such, coal markets have drastically changed. We develop optimization models to help understand the current climate on a global scale and to help a domestic utility reevaluate its forward purchase strategy given depressed coal prices. We first develop a global thermal coal optimization model that minimize the cost to ship coal from countries that are net exporters to those that are net importers, taking into account coal quality specifications and shipping constraints, such as port and vessel capacity. Using this model, we explore the global effects of price variability, changes in operation from large market players such as China and India, and the impact of the Panama Canal expansion. We next develop a methodology for determining an optimal purchase strategy for a U.S. utility; using historical observations, we build a regression model to forecast prices, then select representative scenarios to include in a multi-stage stochastic program that minimizes the expected value and conditional value-at-risk (CVaR) of coal procurement. We formulate a time-consistent nested CVaR minimization model, compare its performance to an expected CVaR model, and show that the expected CVaR model may be better suited to minimizing risk in a multi-stage setting. We conduct out-of-sample testing to assess our solution performance under new price realizations. Finally, we apply an expected CVaR model to determine a utility's procurement strategy and recommend a purchase plan for implementation that is expected to save the company $151 million over a five-year horizon. Advisors/Committee Members: Turner, Cameron J. (advisor), Newman, Alexandra M. (advisor), Dagdelen, Kadri (committee member), Hering, Amanda S. (committee member), Morton, David (committee member), Billups, Stephen (committee member).

Subjects/Keywords: commodities; regression; coal; stochastic programming; conditional value-at-risk

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Arigoni, A. (2016). Optimization techniques in coal markets: a global cost minimization and a multi-stage procurement strategy. (Doctoral Dissertation). Colorado School of Mines. Retrieved from http://hdl.handle.net/11124/170660

Chicago Manual of Style (16^th Edition):

Arigoni, Ashley. “Optimization techniques in coal markets: a global cost minimization and a multi-stage procurement strategy.” 2016. Doctoral Dissertation, Colorado School of Mines. Accessed January 19, 2021. http://hdl.handle.net/11124/170660.

MLA Handbook (7^th Edition):

Arigoni, Ashley. “Optimization techniques in coal markets: a global cost minimization and a multi-stage procurement strategy.” 2016. Web. 19 Jan 2021.

Vancouver:

Arigoni A. Optimization techniques in coal markets: a global cost minimization and a multi-stage procurement strategy. [Internet] [Doctoral dissertation]. Colorado School of Mines; 2016. [cited 2021 Jan 19]. Available from: http://hdl.handle.net/11124/170660.

Council of Science Editors:

Arigoni A. Optimization techniques in coal markets: a global cost minimization and a multi-stage procurement strategy. [Doctoral Dissertation]. Colorado School of Mines; 2016. Available from: http://hdl.handle.net/11124/170660

Universidade Nova

9. Kennedy, George. Using covar to model cross-border connections in financial markets.

Degree: 2017, Universidade Nova

URL: https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/25467

► This paper will examine how the conditional value at risk of the United States financial market can be calculated using exposure to foreign financial markets.… (more)

Subjects/Keywords: Financial interconnection; Value at risk; Risk management; Conditional value at risk; Domínio/Área Científica::Ciências Sociais::Economia e Gestão

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APA (6^th Edition):

Kennedy, G. (2017). Using covar to model cross-border connections in financial markets. (Thesis). Universidade Nova. Retrieved from https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/25467

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Kennedy, George. “Using covar to model cross-border connections in financial markets.” 2017. Thesis, Universidade Nova. Accessed January 19, 2021. https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/25467.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Kennedy, George. “Using covar to model cross-border connections in financial markets.” 2017. Web. 19 Jan 2021.

Vancouver:

Kennedy G. Using covar to model cross-border connections in financial markets. [Internet] [Thesis]. Universidade Nova; 2017. [cited 2021 Jan 19]. Available from: https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/25467.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Kennedy G. Using covar to model cross-border connections in financial markets. [Thesis]. Universidade Nova; 2017. Available from: https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/25467

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

University of Washington

10. Hubbard, Alex. Macroeconomic Dynamics of Market Risk Capital Requirements and Credit Supply Interdependence.

Degree: PhD, 2016, University of Washington

URL: http://hdl.handle.net/1773/36565

► The 2008 global financial crisis revealed serious weaknesses in the worldwide banking system and financial regulatory regime. Concerns arose about the possible procyclical effects of… (more)

▼ The 2008 global financial crisis revealed serious weaknesses in the worldwide banking system and financial regulatory regime. Concerns arose about the possible procyclical effects of risk-sensitive capital requirements that rely on Value-at-Risk (VaR) for managing market risks. The first chapter of this dissertation begins with a brief history of the Basel Committee on Banking Supervision, its contribution in designing capital requirements, and some basic examples to illustrate how VaR contributes to the procyclicality of bank leverage and its amplification effects on financial markets. It then reviews the importance of financial factors, such as leverage and risk, on the business cycle and how the macroeconomic literature has attempted to account for these factors. The second and third chapters analyze how market risk-sensitive capital requirements can affect credit supply and amplify business cycles. These requirements effectively risk-constrain leveraged financial institutions and induce feedback effects on the macroeconomy when banks adjust their balance sheets to comply with these capital requirements. The second chapter analyzes the procyclical effects of Basel II's VaR-based capital requirements within a fully dynamic general equilibrium macroeconomic model with a financial sector. The model is calibrated to U.S. data and estimated with Bayesian techniques to pin down the dynamics and is able to capture four important business cycle correlations between financial factors and macroeconomic activity. The results suggest that when leveraged financial institutions are constrained by VaR-based capital requirements, increased financial market volatility forces banks to adjust their balance sheets to comply with higher capital charges by selling assets at reduced prices. This action depletes bank capital and deteriorates risk-weighted balance sheet positions, raising their perceived probability of default and interbank borrowing costs. Ultimately, these effects restrict the financial sector's ability to supply credit to the productive sectors to finance investment. Additionally, if financial markets become illiquid and banks are unable to sell assets and violate their risk constraints, the effects become amplified. These results provide some rationale for the Federal Reserve taking on the buyer of last resort role in the asset-backed securities market during the 2008 financial crisis. Thus, credit supply and market risk capital requirements are shown to be interdependent through risk constraints. The third chapter analyzes how Basel III's proposed switch from Value-at-Risk to stressed Conditional Value-at-Risk (CVaR) to measure market risks might affect the procyclicality of bank risk constraints on the macroeconomy. CVaR may reduce the spillover effects of market risk-sensitive capital requirements on credit supply and aggregate investment compared to the current VaR regime if regulation abandons the efficient markets hypothesis in favor of the fractal markets hypothesis and calibrates risks to stressed market… Advisors/Committee Members: Brock, Philip (advisor).

Subjects/Keywords: Capital Requirements; Conditional Value-at-Risk; Financial Regulation; Macroeconomics; Value-at-Risk; Economics; Economic theory; Banking; economics

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Hubbard, A. (2016). Macroeconomic Dynamics of Market Risk Capital Requirements and Credit Supply Interdependence. (Doctoral Dissertation). University of Washington. Retrieved from http://hdl.handle.net/1773/36565

Chicago Manual of Style (16^th Edition):

Hubbard, Alex. “Macroeconomic Dynamics of Market Risk Capital Requirements and Credit Supply Interdependence.” 2016. Doctoral Dissertation, University of Washington. Accessed January 19, 2021. http://hdl.handle.net/1773/36565.

MLA Handbook (7^th Edition):

Hubbard, Alex. “Macroeconomic Dynamics of Market Risk Capital Requirements and Credit Supply Interdependence.” 2016. Web. 19 Jan 2021.

Vancouver:

Hubbard A. Macroeconomic Dynamics of Market Risk Capital Requirements and Credit Supply Interdependence. [Internet] [Doctoral dissertation]. University of Washington; 2016. [cited 2021 Jan 19]. Available from: http://hdl.handle.net/1773/36565.

Council of Science Editors:

Hubbard A. Macroeconomic Dynamics of Market Risk Capital Requirements and Credit Supply Interdependence. [Doctoral Dissertation]. University of Washington; 2016. Available from: http://hdl.handle.net/1773/36565

Mississippi State University

11. Bhuiyan, Tanveer Hossain. Risk-averse bi-level stochastic network interdiction model for cyber-security risk management.

Degree: MS, Industrial and Systems Engineering, 2018, Mississippi State University

URL: http://sun.library.msstate.edu/ETD-db/theses/available/etd-06192018-192319/ ;

► This research presents a bi-level stochastic network interdiction model on an attack graph to enable a risk-averse resource constrained cyber network defender to optimally… (more)

Subjects/Keywords: attack graph; stochastic network interdiction; risk-aversion; conditional-value-at-risk; mixed-integer-programming

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APA (6^th Edition):

Bhuiyan, T. H. (2018). Risk-averse bi-level stochastic network interdiction model for cyber-security risk management. (Masters Thesis). Mississippi State University. Retrieved from http://sun.library.msstate.edu/ETD-db/theses/available/etd-06192018-192319/ ;

Chicago Manual of Style (16^th Edition):

Bhuiyan, Tanveer Hossain. “Risk-averse bi-level stochastic network interdiction model for cyber-security risk management.” 2018. Masters Thesis, Mississippi State University. Accessed January 19, 2021. http://sun.library.msstate.edu/ETD-db/theses/available/etd-06192018-192319/ ;.

MLA Handbook (7^th Edition):

Bhuiyan, Tanveer Hossain. “Risk-averse bi-level stochastic network interdiction model for cyber-security risk management.” 2018. Web. 19 Jan 2021.

Vancouver:

Bhuiyan TH. Risk-averse bi-level stochastic network interdiction model for cyber-security risk management. [Internet] [Masters thesis]. Mississippi State University; 2018. [cited 2021 Jan 19]. Available from: http://sun.library.msstate.edu/ETD-db/theses/available/etd-06192018-192319/ ;.

Council of Science Editors:

Bhuiyan TH. Risk-averse bi-level stochastic network interdiction model for cyber-security risk management. [Masters Thesis]. Mississippi State University; 2018. Available from: http://sun.library.msstate.edu/ETD-db/theses/available/etd-06192018-192319/ ;

University of Windsor

12. Zhang, Qiqi. Multiportfolio Optimization with CVaR Risk Measure.

Degree: MA, Mechanical, Automotive, and Materials Engineering, 2016, University of Windsor

URL: https://scholar.uwindsor.ca/etd/5685

► The vast majority of studies in portfolio optimization problem are conducted under a single portfolio framework. In the financial industry, the trading of multiple portfolios… (more)

Subjects/Keywords: Conditional Value-at-Risk; Fairness; Market Impact Cost; Mathematical Programming; Multiportfolio Optimization; Risk Management

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Zhang, Q. (2016). Multiportfolio Optimization with CVaR Risk Measure. (Masters Thesis). University of Windsor. Retrieved from https://scholar.uwindsor.ca/etd/5685

Chicago Manual of Style (16^th Edition):

Zhang, Qiqi. “Multiportfolio Optimization with CVaR Risk Measure.” 2016. Masters Thesis, University of Windsor. Accessed January 19, 2021. https://scholar.uwindsor.ca/etd/5685.

MLA Handbook (7^th Edition):

Zhang, Qiqi. “Multiportfolio Optimization with CVaR Risk Measure.” 2016. Web. 19 Jan 2021.

Vancouver:

Zhang Q. Multiportfolio Optimization with CVaR Risk Measure. [Internet] [Masters thesis]. University of Windsor; 2016. [cited 2021 Jan 19]. Available from: https://scholar.uwindsor.ca/etd/5685.

Council of Science Editors:

Zhang Q. Multiportfolio Optimization with CVaR Risk Measure. [Masters Thesis]. University of Windsor; 2016. Available from: https://scholar.uwindsor.ca/etd/5685

13. Ferreira, Artur Barbosa Bernardes. Sistema de suporte à decisão contratual ótima de UHEs no mercado de energia elétrica utilizando gerenciamento de risco.

Degree: Mestrado, Sistemas Elétricos de Potência, 2012, University of São Paulo

URL: http://www.teses.usp.br/teses/disponiveis/18/18154/tde-20092012-080148/ ;

►

O modelo de comercialização de energia elétrica operante no Brasil é fruto da reestruturação do Setor Elétrico Brasileiro (SEB), que se iniciou na década de… (more)

▼

O modelo de comercialização de energia elétrica operante no Brasil é fruto da reestruturação do Setor Elétrico Brasileiro (SEB), que se iniciou na década de 90. Este modelo atual, mais estruturado, impulsionou os investimentos privados no setor nos últimos anos, fazendo com que a comercialização de energia se tornasse algo de grande representatividade dentro do setor elétrico. Este modelo de comercialização como é hoje, dividido em dois ambientes, dinâmico e em constante evolução, é alvo de inúmeros investidores, principalmente no Ambiente de Contratação Livre (ACL) onde o número de agentes cresceu consideravelmente nos últimos anos, e gerou movimentações financeiras recordes. Associado a este crescimento expressivo, os riscos inerentes de mercado também se mostram relevantes e de fundamental necessidade de gerenciamento para o equilíbrio financeiro do investidor. Dessa forma, este trabalho propõe uma análise acerca da comercialização de energia no mercado brasileiro, quanto ao gerenciamento do risco por parte de um agente gerador operando no ACL, através da implementação de um otimizador contratual que ajude na tomada de decisão de quanta energia destinar a cada contrato, de modo a maximizar a receita do agente a um risco controlável.

The present marketing model of electric power in Brazil is the result of the restructuring of the Brazilian Electric Sector (BES), which began in the 90s. This current model, somewhat more structured, stimulated private investment in the sector in recent years; this way the electric power´s market acquired substantial representation within the electricity sector. The current market model, having two different commercial environments, dynamic and constantly evolving, has been attracting many investors, especially in the Free Contracting Environment (FCE) where the number of agents has grown considerably in recent years, and generated record number of financial transactions. Associated with this significant growth, the inherent risks in this market are effectively of concern and need being managed to ensure the financial balance of the investor. Therefore, this work proposes an analysis about the energy trading in the Brazilian market, as to the management of risk by an agent generator operating in the FCE, through the implementation of a contract optimizer that helps in making decisions on how construct a contract portfolio in order to maximizes the agent revenue under a controllable risk.

Advisors/Committee Members: Carneiro, Adriano Alber de França Mendes.

Subjects/Keywords: Ambiente de livre contratação; Conditional value at risk; Conditional value at risk; Electricity market; Free contracting environment; Gerenciamento de risco; Mercado de energia elétrica; Risk management

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Ferreira, A. B. B. (2012). Sistema de suporte à decisão contratual ótima de UHEs no mercado de energia elétrica utilizando gerenciamento de risco. (Masters Thesis). University of São Paulo. Retrieved from http://www.teses.usp.br/teses/disponiveis/18/18154/tde-20092012-080148/ ;

Chicago Manual of Style (16^th Edition):

Ferreira, Artur Barbosa Bernardes. “Sistema de suporte à decisão contratual ótima de UHEs no mercado de energia elétrica utilizando gerenciamento de risco.” 2012. Masters Thesis, University of São Paulo. Accessed January 19, 2021. http://www.teses.usp.br/teses/disponiveis/18/18154/tde-20092012-080148/ ;.

MLA Handbook (7^th Edition):

Ferreira, Artur Barbosa Bernardes. “Sistema de suporte à decisão contratual ótima de UHEs no mercado de energia elétrica utilizando gerenciamento de risco.” 2012. Web. 19 Jan 2021.

Vancouver:

Ferreira ABB. Sistema de suporte à decisão contratual ótima de UHEs no mercado de energia elétrica utilizando gerenciamento de risco. [Internet] [Masters thesis]. University of São Paulo; 2012. [cited 2021 Jan 19]. Available from: http://www.teses.usp.br/teses/disponiveis/18/18154/tde-20092012-080148/ ;.

Council of Science Editors:

Ferreira ABB. Sistema de suporte à decisão contratual ótima de UHEs no mercado de energia elétrica utilizando gerenciamento de risco. [Masters Thesis]. University of São Paulo; 2012. Available from: http://www.teses.usp.br/teses/disponiveis/18/18154/tde-20092012-080148/ ;

14. Bertho Junior, Rui. Programação linear com controle de risco para o planejamento da operação do SIN.

Degree: Mestrado, Sistemas Elétricos de Potência, 2013, University of São Paulo

URL: http://www.teses.usp.br/teses/disponiveis/18/18154/tde-29042013-112650/ ;

►

O planejamento da operação energética do sistema interligado nacional brasileiro é realizado por uma cadeia de modelos computacionais de otimização e simulação da operação. Entretanto,… (more)

Subjects/Keywords: Aggregated reservoir; Conditional value at risk; Conditional value at risk; Controle de risco; Linear programing; Operation planning; Planejamento da operação; Programação linear; Reservatório equivalente; Risk control

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Bertho Junior, R. (2013). Programação linear com controle de risco para o planejamento da operação do SIN. (Masters Thesis). University of São Paulo. Retrieved from http://www.teses.usp.br/teses/disponiveis/18/18154/tde-29042013-112650/ ;

Chicago Manual of Style (16^th Edition):

Bertho Junior, Rui. “Programação linear com controle de risco para o planejamento da operação do SIN.” 2013. Masters Thesis, University of São Paulo. Accessed January 19, 2021. http://www.teses.usp.br/teses/disponiveis/18/18154/tde-29042013-112650/ ;.

MLA Handbook (7^th Edition):

Bertho Junior, Rui. “Programação linear com controle de risco para o planejamento da operação do SIN.” 2013. Web. 19 Jan 2021.

Vancouver:

Bertho Junior R. Programação linear com controle de risco para o planejamento da operação do SIN. [Internet] [Masters thesis]. University of São Paulo; 2013. [cited 2021 Jan 19]. Available from: http://www.teses.usp.br/teses/disponiveis/18/18154/tde-29042013-112650/ ;.

Council of Science Editors:

Bertho Junior R. Programação linear com controle de risco para o planejamento da operação do SIN. [Masters Thesis]. University of São Paulo; 2013. Available from: http://www.teses.usp.br/teses/disponiveis/18/18154/tde-29042013-112650/ ;

Universidade de Brasília

15. Leonardo de Lima Moreira. Risco de mercado: análise comparativa de métodos de mensuração de risco aplicado ao mercado brasileiro.

Degree: 2006, Universidade de Brasília

URL: http://bdtd.bce.unb.br/tedesimplificado/tde_busca/arquivo.php?codArquivo=1895

►

O presente trabalho busca analisar o comportamento dos modelos de mensuração de risco de mercado VaR e CVaR para no mercado de ações brasileiro, calculados… (more)

Subjects/Keywords: mercado financeiro; ECONOMIA; value-at-risk (VAR); conditional value-at-risk (CVAR); administração de risco - instituições financeiras; Conditional Value-at-Risk (CVAR); risco de mercado; value-at-risk (VAR); risco (Economia); valor (Economia); Gestão Econômica de Negócios; market Risk

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Moreira, L. d. L. (2006). Risco de mercado: análise comparativa de métodos de mensuração de risco aplicado ao mercado brasileiro. (Thesis). Universidade de Brasília. Retrieved from http://bdtd.bce.unb.br/tedesimplificado/tde_busca/arquivo.php?codArquivo=1895

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Moreira, Leonardo de Lima. “Risco de mercado: análise comparativa de métodos de mensuração de risco aplicado ao mercado brasileiro.” 2006. Thesis, Universidade de Brasília. Accessed January 19, 2021. http://bdtd.bce.unb.br/tedesimplificado/tde_busca/arquivo.php?codArquivo=1895.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Moreira, Leonardo de Lima. “Risco de mercado: análise comparativa de métodos de mensuração de risco aplicado ao mercado brasileiro.” 2006. Web. 19 Jan 2021.

Vancouver:

Moreira LdL. Risco de mercado: análise comparativa de métodos de mensuração de risco aplicado ao mercado brasileiro. [Internet] [Thesis]. Universidade de Brasília; 2006. [cited 2021 Jan 19]. Available from: http://bdtd.bce.unb.br/tedesimplificado/tde_busca/arquivo.php?codArquivo=1895.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Moreira LdL. Risco de mercado: análise comparativa de métodos de mensuração de risco aplicado ao mercado brasileiro. [Thesis]. Universidade de Brasília; 2006. Available from: http://bdtd.bce.unb.br/tedesimplificado/tde_busca/arquivo.php?codArquivo=1895

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

University of Alberta

16. Smirnov, Ivan. Dynamic Hedging: CVaR Minimization and Path-Wise Comparison.

Degree: PhD, Department of Mathematical and Statistical Sciences, 2013, University of Alberta

URL: https://era.library.ualberta.ca/files/zg64tm505

► Imposing constraints on the class of the available self-financing strategies may eliminate the possibility of using replicating or superhedging strategies, which leads to the problem… (more)

Subjects/Keywords: conditional value-at-risk; dynamic hedging; stochastic modelling; path-wise comparison theorem; Neyman-Pearson lemma

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Smirnov, I. (2013). Dynamic Hedging: CVaR Minimization and Path-Wise Comparison. (Doctoral Dissertation). University of Alberta. Retrieved from https://era.library.ualberta.ca/files/zg64tm505

Chicago Manual of Style (16^th Edition):

Smirnov, Ivan. “Dynamic Hedging: CVaR Minimization and Path-Wise Comparison.” 2013. Doctoral Dissertation, University of Alberta. Accessed January 19, 2021. https://era.library.ualberta.ca/files/zg64tm505.

MLA Handbook (7^th Edition):

Smirnov, Ivan. “Dynamic Hedging: CVaR Minimization and Path-Wise Comparison.” 2013. Web. 19 Jan 2021.

Vancouver:

Smirnov I. Dynamic Hedging: CVaR Minimization and Path-Wise Comparison. [Internet] [Doctoral dissertation]. University of Alberta; 2013. [cited 2021 Jan 19]. Available from: https://era.library.ualberta.ca/files/zg64tm505.

Council of Science Editors:

Smirnov I. Dynamic Hedging: CVaR Minimization and Path-Wise Comparison. [Doctoral Dissertation]. University of Alberta; 2013. Available from: https://era.library.ualberta.ca/files/zg64tm505

McMaster University

17. Khodabakhsh, Raheleh. Energy Management in Grid-connected Microgrids with On-site Storage Devices.

Degree: MASc, 2015, McMaster University

URL: http://hdl.handle.net/11375/18283

►

A growing need for clean and sustainable energy is causing a significant shift in the electricity generation paradigm. In the electricity system of the future,… (more)

▼

A growing need for clean and sustainable energy is causing a significant shift in the electricity generation paradigm. In the electricity system of the future, integration of renewable energy sources with smart grid technologies can lead to potentially huge economical and environmental benefits ranging from lesser dependency on fossil fuels and improved efficiency to greater reliability and eventually reduced cost of electricity. In this context, microgrids serve as one of the main components of smart grids with high penetration of renewable resources and modern control strategies. This dissertation is concerned with developing optimal control strategies to manage an energy storage unit in a grid-connected microgrid under uncertainty of electricity demand and prices. Two methods are proposed based on the concept of rolling horizon control, where charge/discharge activities of the storage unit are determined by repeatedly solving an optimization problem over a moving control window. The predicted values of the microgrid net electricity demand and electricity prices over the control horizon are assumed uncertain. The first formulation of the control is based on the scenario-based stochastic conditional value at risk (CVaR) optimization, where the cost function includes electricity usage cost, battery operation costs, and grid signal smoothing objectives. Gaussian uncertainty is assumed in both net demand and electricity prices. The second formulation reduces the computations by taking a worst-case CVaR stochastic optimization approach. In this case, the uncertainty in demand is still stochastic but the problem constraints are made robust with respect to price changes in a given range. The optimization problems are initially formulated as mixed integer linear programs (MILP), which are non-convex. Later, reformulations of the optimization problems into convex linear programs are presented, which are easier and faster to solve. Simulation results under different operation scenarios are presented to demonstrate the effectiveness of the proposed methods. Finally, the energy management problem in network of grid-connected microgrids is investigated and a strategy is devised to allocate the resulting net savings/costs of operation of the microgrids to the individual microgrids. In the proposed approach, the energy management problem is formulated in a deterministic co-operative game theoretic framework for a group of connected microgrids as a single entity and the individual savings are distributed based on the Shapley value theory. Simulation results demonstrate that this co-operation leads to higher economical return for individual microgrids compared to the case where each of them is operating independently. Furthermore, this reduces the dependency of the microgrids on the utility grid by exchanging power locally.

Thesis

Master of Applied Science (MASc)

Advisors/Committee Members: Sirouspour, Shahin, Electrical and Computer Engineering.

Subjects/Keywords: Energy Management; Microgrids; Rolling Horizon; MILP; LP; Conditional Value at Risk; Worst-case CVaR

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Khodabakhsh, R. (2015). Energy Management in Grid-connected Microgrids with On-site Storage Devices. (Masters Thesis). McMaster University. Retrieved from http://hdl.handle.net/11375/18283

Chicago Manual of Style (16^th Edition):

Khodabakhsh, Raheleh. “Energy Management in Grid-connected Microgrids with On-site Storage Devices.” 2015. Masters Thesis, McMaster University. Accessed January 19, 2021. http://hdl.handle.net/11375/18283.

MLA Handbook (7^th Edition):

Khodabakhsh, Raheleh. “Energy Management in Grid-connected Microgrids with On-site Storage Devices.” 2015. Web. 19 Jan 2021.

Vancouver:

Khodabakhsh R. Energy Management in Grid-connected Microgrids with On-site Storage Devices. [Internet] [Masters thesis]. McMaster University; 2015. [cited 2021 Jan 19]. Available from: http://hdl.handle.net/11375/18283.

Council of Science Editors:

Khodabakhsh R. Energy Management in Grid-connected Microgrids with On-site Storage Devices. [Masters Thesis]. McMaster University; 2015. Available from: http://hdl.handle.net/11375/18283

Uppsala University

18. Enocksson, David. Evaluating VaR with the ARCH/GARCH Family.

Degree: Statistics, 2012, Uppsala University

URL: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-168283

► The aim of the thesis is to identify an appropriate model in forecasting Value-at-Risk on a morevolatile period than that one from which the… (more)

Subjects/Keywords: Value-at-Risk; ARCH; GARCH; GJR-GARCH; Exchange rates; Conditional Variance; Volatility Forecasting

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Enocksson, D. (2012). Evaluating VaR with the ARCH/GARCH Family. (Thesis). Uppsala University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-168283

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Enocksson, David. “Evaluating VaR with the ARCH/GARCH Family.” 2012. Thesis, Uppsala University. Accessed January 19, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-168283.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Enocksson, David. “Evaluating VaR with the ARCH/GARCH Family.” 2012. Web. 19 Jan 2021.

Vancouver:

Enocksson D. Evaluating VaR with the ARCH/GARCH Family. [Internet] [Thesis]. Uppsala University; 2012. [cited 2021 Jan 19]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-168283.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Enocksson D. Evaluating VaR with the ARCH/GARCH Family. [Thesis]. Uppsala University; 2012. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-168283

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Uppsala University

19. Boman, Victor. A comparison of multivariate GARCH models with respect to Value at Risk.

Degree: Statistics, 2019, Uppsala University

URL: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-385521

► Since the introduction univariate GARCH models number of available models have grown rapidly and has been extended to the multivariate area. This paper compares… (more)

Subjects/Keywords: multivariate GARCH; Value at Risk; forecasting; conditional correlation; Probability Theory and Statistics; Sannolikhetsteori och statistik

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APA (6^th Edition):

Boman, V. (2019). A comparison of multivariate GARCH models with respect to Value at Risk. (Thesis). Uppsala University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-385521

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Boman, Victor. “A comparison of multivariate GARCH models with respect to Value at Risk.” 2019. Thesis, Uppsala University. Accessed January 19, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-385521.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Boman, Victor. “A comparison of multivariate GARCH models with respect to Value at Risk.” 2019. Web. 19 Jan 2021.

Vancouver:

Boman V. A comparison of multivariate GARCH models with respect to Value at Risk. [Internet] [Thesis]. Uppsala University; 2019. [cited 2021 Jan 19]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-385521.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Boman V. A comparison of multivariate GARCH models with respect to Value at Risk. [Thesis]. Uppsala University; 2019. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-385521

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

University of Toronto

20. Mahmoudzadeh, Houra. Robust Optimization Methods for Breast Cancer Radiation Therapy.

Degree: PhD, 2015, University of Toronto

URL: http://hdl.handle.net/1807/71562

► The goal of radiation therapy (RT) is to eliminate cancerous cells by directing radiation beams to the hit the cancer target while sparing the surrounding… (more)

▼ The goal of radiation therapy (RT) is to eliminate cancerous cells by directing radiation beams to the hit the cancer target while sparing the surrounding healthy tissue. In breast cancer, the proximity of the heart to the radiation beams often results in the delivery of excessive dose to the heart, leading to a high risk of cardiac complications after the treatment. The heart moves in and out of the radiation beams due to breathing motion which is often irregular and unpredictable. The challenge is to remain within the clinical limits on the volume of the heart receiving a high dose in the presence of breathing motion uncertainty. This thesis investigates robust optimization (RO) methods to minimize the radiation dose to the heart in breast cancer RT. %under breathing motion uncertainty. First, we present a new optimization framework that combines robust optimization, to take into account breathing motion uncertainty, with a conditional value-at-risk (CVaR) representation of clinical dose-volume criteria. This framework is general and applicable to any problem with an underlying loss/return distribution that changes over time based on the state of some system. We then explore a range of constraint generation solution strategies to solve the resulting large-scale RO problems and compare the computational efficiency of the proposed approach with that of traditional solution methods. Our computational experiments show that the proposed constraint generation strategies can reduce the solution time by an order of magnitude. Next, we apply our robust method to real data of several breast cancer patients and dosimetrically compare the results with those of the current clinical treatment planning methods. Our results demonstrate that the robust approach can substantially reduce the radiation to the heart and is less sensitive to breathing motion compared to the conventional clinical method. Finally, we apply the concept of Pareto robust optimization (PRO) to breast cancer RT. Using clinical patient datasets, we show that RO and PRO solutions are very close for all patients. We find PRO solutions that have a potentially lower heart dose than RO solutions under non-worst-case breathing scenarios while maintaining the worst-case performance of RO solutions. Advisors/Committee Members: Chan, Timothy C. Y., Mechanical and Industrial Engineering.

Subjects/Keywords: Breast Cancer; Conditional Value-at-risk; Optimization under Uncertainty; Radiation Therapy; Robust Optimization; 0546

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Mahmoudzadeh, H. (2015). Robust Optimization Methods for Breast Cancer Radiation Therapy. (Doctoral Dissertation). University of Toronto. Retrieved from http://hdl.handle.net/1807/71562

Chicago Manual of Style (16^th Edition):

Mahmoudzadeh, Houra. “Robust Optimization Methods for Breast Cancer Radiation Therapy.” 2015. Doctoral Dissertation, University of Toronto. Accessed January 19, 2021. http://hdl.handle.net/1807/71562.

MLA Handbook (7^th Edition):

Mahmoudzadeh, Houra. “Robust Optimization Methods for Breast Cancer Radiation Therapy.” 2015. Web. 19 Jan 2021.

Vancouver:

Mahmoudzadeh H. Robust Optimization Methods for Breast Cancer Radiation Therapy. [Internet] [Doctoral dissertation]. University of Toronto; 2015. [cited 2021 Jan 19]. Available from: http://hdl.handle.net/1807/71562.

Council of Science Editors:

Mahmoudzadeh H. Robust Optimization Methods for Breast Cancer Radiation Therapy. [Doctoral Dissertation]. University of Toronto; 2015. Available from: http://hdl.handle.net/1807/71562

Clemson University

21. Madadi, Alireza. SUPPLY CHAIN NETWORK DESIGN: RISK-AVERSE VS. RISK-NEUTRAL DECISION MAKING.

Degree: PhD, Industrial Engineering, 2012, Clemson University

URL: https://tigerprints.clemson.edu/all_dissertations/1044

► Recent events, such as the Heparin tragedy, highlight the necessity for designers and planners of supply chain networks to consider the risk of disruptions in… (more)

Subjects/Keywords: Conditional Value at Risk; Decision making; metaheuristic; Supply chain design; Supply disruptions; Industrial Engineering

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APA (6^th Edition):

Madadi, A. (2012). SUPPLY CHAIN NETWORK DESIGN: RISK-AVERSE VS. RISK-NEUTRAL DECISION MAKING. (Doctoral Dissertation). Clemson University. Retrieved from https://tigerprints.clemson.edu/all_dissertations/1044

Chicago Manual of Style (16^th Edition):

Madadi, Alireza. “SUPPLY CHAIN NETWORK DESIGN: RISK-AVERSE VS. RISK-NEUTRAL DECISION MAKING.” 2012. Doctoral Dissertation, Clemson University. Accessed January 19, 2021. https://tigerprints.clemson.edu/all_dissertations/1044.

MLA Handbook (7^th Edition):

Madadi, Alireza. “SUPPLY CHAIN NETWORK DESIGN: RISK-AVERSE VS. RISK-NEUTRAL DECISION MAKING.” 2012. Web. 19 Jan 2021.

Vancouver:

Madadi A. SUPPLY CHAIN NETWORK DESIGN: RISK-AVERSE VS. RISK-NEUTRAL DECISION MAKING. [Internet] [Doctoral dissertation]. Clemson University; 2012. [cited 2021 Jan 19]. Available from: https://tigerprints.clemson.edu/all_dissertations/1044.

Council of Science Editors:

Madadi A. SUPPLY CHAIN NETWORK DESIGN: RISK-AVERSE VS. RISK-NEUTRAL DECISION MAKING. [Doctoral Dissertation]. Clemson University; 2012. Available from: https://tigerprints.clemson.edu/all_dissertations/1044

Rice University

22. Takhtaganov, Timur. Efficient estimation of coherent risk measures for risk-averse optimization problems governed by partial differential equations with random inputs.

Degree: PhD, Engineering, 2017, Rice University

URL: http://hdl.handle.net/1911/105454

► The scope of this thesis is the assessment and design of structure-exploiting methods for the efficient estimation of risk measures of quantities of interest in… (more)

Subjects/Keywords: optimization under uncertainty; PDE-constrained optimization; risk-averse optimization; risk measures; importance sampling; reduced order models; conditional value-at-risk

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APA (6^th Edition):

Takhtaganov, T. (2017). Efficient estimation of coherent risk measures for risk-averse optimization problems governed by partial differential equations with random inputs. (Doctoral Dissertation). Rice University. Retrieved from http://hdl.handle.net/1911/105454

Chicago Manual of Style (16^th Edition):

Takhtaganov, Timur. “Efficient estimation of coherent risk measures for risk-averse optimization problems governed by partial differential equations with random inputs.” 2017. Doctoral Dissertation, Rice University. Accessed January 19, 2021. http://hdl.handle.net/1911/105454.

MLA Handbook (7^th Edition):

Takhtaganov, Timur. “Efficient estimation of coherent risk measures for risk-averse optimization problems governed by partial differential equations with random inputs.” 2017. Web. 19 Jan 2021.

Vancouver:

Takhtaganov T. Efficient estimation of coherent risk measures for risk-averse optimization problems governed by partial differential equations with random inputs. [Internet] [Doctoral dissertation]. Rice University; 2017. [cited 2021 Jan 19]. Available from: http://hdl.handle.net/1911/105454.

Council of Science Editors:

Takhtaganov T. Efficient estimation of coherent risk measures for risk-averse optimization problems governed by partial differential equations with random inputs. [Doctoral Dissertation]. Rice University; 2017. Available from: http://hdl.handle.net/1911/105454

University of South Florida

23. Su, Liu. Routing and Designing Networks for Two Transportation Problems.

Degree: 2019, University of South Florida

URL: https://scholarcommons.usf.edu/etd/7958

► Routing and designing are essential for transportation networks. With effective routing and designing policies, transportation networks can work safely and efficiently. There are two transportation… (more)

Subjects/Keywords: Conditional Value-at-Risk; Dynamic Wireless Charging; Hazardous Materials Transportation; Risk Management; Spectral Risk; Operational Research; Urban Studies and Planning

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APA (6^th Edition):

Su, L. (2019). Routing and Designing Networks for Two Transportation Problems. (Thesis). University of South Florida. Retrieved from https://scholarcommons.usf.edu/etd/7958

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Su, Liu. “Routing and Designing Networks for Two Transportation Problems.” 2019. Thesis, University of South Florida. Accessed January 19, 2021. https://scholarcommons.usf.edu/etd/7958.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Su, Liu. “Routing and Designing Networks for Two Transportation Problems.” 2019. Web. 19 Jan 2021.

Vancouver:

Su L. Routing and Designing Networks for Two Transportation Problems. [Internet] [Thesis]. University of South Florida; 2019. [cited 2021 Jan 19]. Available from: https://scholarcommons.usf.edu/etd/7958.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Su L. Routing and Designing Networks for Two Transportation Problems. [Thesis]. University of South Florida; 2019. Available from: https://scholarcommons.usf.edu/etd/7958

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Université de Neuchâtel

24. Bluteau, Keven. Modeling latent variables in economics and finance.

Degree: 2019, Université de Neuchâtel

URL: http://doc.rero.ch/record/326760

► Le sujet des variables latentes est au cœur de cette thèse. Ces variables latentes (i.e., non observables) doivent être inférées à l’aide de modèles statistiques… (more)

▼ Le sujet des variables latentes est au cœur de cette thèse. Ces variables latentes (i.e., non observables) doivent être inférées à l’aide de modèles statistiques ou de variables proxys observables. Les objectifs de ma thèse de doctorat sont de développer et de tester de nouveaux modèles statistiques pour déduire ces variables afin de les utiliser pour l’amélioration des décisions économiques et financières. Dans mon premier chapitre de thèses, je traite de l’évaluation des modèles de volatilité qui intègre de possible changement (latent) structurels dans les paramètres du modèle. Il est d’une importance capitale de capturer ces changements structurels rapidement, comme une mesure précise de la volatilité est cruciale pour la prise optimale de décision qui nécessite un compromis entre le rendement prévu et le risque, ainsi que pour des applications dans l’évaluation des prix d’actifs et en gestion des risques. Cependant, aucune étude empirique n’a été réalisée pour évaluer la performance globale de modèles de volatilité qui prennent en compte les changements structurels. À cette fin, j’entreprends une étude à grande échelle empirique pour comparer la` performance de prévision de modèle GARCH sans changement de régime et de modèle GARCH à changement de régimes Markovien (MSGARCH) du point de vue d’un gestionnaire des risques. Les résultats indiquent que, pour tous les horizons de prédictions considérées, les modèles MSGARCH génère des prédictions plus précises de la Value-at-Risk, d’Expected Shortfall et de la densité que les modèles GARCH sans changement de régime. De plus, mes résultats indiquent que la prise en compte de l’incertitude des paramètres améliore les prévisions de la densité, indépendamment de l’inclusion du mécanisme Markovien. Tandis que mon premier chapitre de thèses à une emphase sur la modélisation de variables latentes d’un point de vue de la modélisation statistique, le second et troisième chapitre tentent de capturer une variable plus originale : le sentiment exprimé dans les communications écrites. Mon deuxième chapitre de thèses fait face au développement et l’évaluation de nouveau proxy de sentiment économique basé sur des documents textuels. Spécifiquement, j’introduis une infrastructure générale de développement d’indices de sentiment qui sont optimisés avec l’objectif de faire de la prédiction dans un contexte de régression à grande dimension. J’applique cette nouvelle méthodologie à la prédiction de la production industrielle américaine. Mes résultats indiquent que, comparé à l’utilisation unique de variables économiques et financières, l’ajout de l’utilisation d’indices de sentiments textuelles économiques optimisés ajoute de manière importante au pouvoir de prédiction de la croissance économique américaine pour des horizons de neuf mois et un an. Mon troisième chapitre de thèses à comme emphase l’analyse de la dynamique de sentiment textuelles anormaux près d’évènement financier. J’introduis, en autre, l’analyse d’évènement basé sur le sentiment anormal cumulatif et… Advisors/Committee Members: David (Dir.), Kris (Codir.).

Subjects/Keywords: value–at–risk

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APA (6^th Edition):

Bluteau, K. (2019). Modeling latent variables in economics and finance. (Thesis). Université de Neuchâtel. Retrieved from http://doc.rero.ch/record/326760

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Bluteau, Keven. “Modeling latent variables in economics and finance.” 2019. Thesis, Université de Neuchâtel. Accessed January 19, 2021. http://doc.rero.ch/record/326760.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Bluteau, Keven. “Modeling latent variables in economics and finance.” 2019. Web. 19 Jan 2021.

Vancouver:

Bluteau K. Modeling latent variables in economics and finance. [Internet] [Thesis]. Université de Neuchâtel; 2019. [cited 2021 Jan 19]. Available from: http://doc.rero.ch/record/326760.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Bluteau K. Modeling latent variables in economics and finance. [Thesis]. Université de Neuchâtel; 2019. Available from: http://doc.rero.ch/record/326760

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Universidad del Rosario

25. Alayón González, José Luis. Distribución hiperbólica generalizada: una aplicación en la selección de portafolios y en la cuantificación de medidas de riesgo de mercado.

Degree: 2014, Universidad del Rosario

URL: http://repository.urosario.edu.co/handle/10336/8856

►

En este trabajo se implementa una metodología para incluir momentos de orden superior en la selección de portafolios, haciendo uso de la Distribución Hiperbólica Generalizada,… (more)

Subjects/Keywords: Generalized Hyperbolic Distribution; Portfolio Selection; Robust Portfolio selection; Conditional Value at Risk; Worse Case Conditional Value at Risk; Asset Allocation; Risk Management; Markowitz; Multi-cicle, Expectation, and Conditional Estimation Method; 381; Mercados; Mercado de valores; Finanzas; Economía; Generalized Hyperbolic Distribution; Portfolio Selection; Robust Portfolio selection; Conditional Value at Risk; Worse Case Conditional Value at Risk; Asset Allocation; Risk Management; Markowitz Portfolio Selection; Multi-cicle, Expectation, and Conditional Estimation Method

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APA (6^th Edition):

Alayón González, J. L. (2014). Distribución hiperbólica generalizada: una aplicación en la selección de portafolios y en la cuantificación de medidas de riesgo de mercado. (Thesis). Universidad del Rosario. Retrieved from http://repository.urosario.edu.co/handle/10336/8856

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Alayón González, José Luis. “Distribución hiperbólica generalizada: una aplicación en la selección de portafolios y en la cuantificación de medidas de riesgo de mercado.” 2014. Thesis, Universidad del Rosario. Accessed January 19, 2021. http://repository.urosario.edu.co/handle/10336/8856.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Alayón González, José Luis. “Distribución hiperbólica generalizada: una aplicación en la selección de portafolios y en la cuantificación de medidas de riesgo de mercado.” 2014. Web. 19 Jan 2021.

Vancouver:

Alayón González JL. Distribución hiperbólica generalizada: una aplicación en la selección de portafolios y en la cuantificación de medidas de riesgo de mercado. [Internet] [Thesis]. Universidad del Rosario; 2014. [cited 2021 Jan 19]. Available from: http://repository.urosario.edu.co/handle/10336/8856.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Alayón González JL. Distribución hiperbólica generalizada: una aplicación en la selección de portafolios y en la cuantificación de medidas de riesgo de mercado. [Thesis]. Universidad del Rosario; 2014. Available from: http://repository.urosario.edu.co/handle/10336/8856

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Université de Lorraine

26. Salhi, Khaled. Risques extrêmes en finance : analyse et modélisation : Financial extreme risks : analysis and modeling.

Degree: Docteur es, Mathématiques, 2016, Université de Lorraine

URL: http://www.theses.fr/2016LORR0192

►

Cette thèse étudie la gestion et la couverture du risque en s’appuyant sur la Value-at-Risk (VaR) et la Value-at-Risk Conditionnelle (CVaR), comme mesures de risque.… (more)

▼

Cette thèse étudie la gestion et la couverture du risque en s’appuyant sur la Value-at-Risk (VaR) et la Value-at-Risk Conditionnelle (CVaR), comme mesures de risque. La première partie propose un modèle d’évolution de prix que nous confrontons à des données réelles issues de la bourse de Paris (Euronext PARIS). Notre modèle prend en compte les probabilités d’occurrence des pertes extrêmes et les changements de régimes observés sur les données. Notre approche consiste à détecter les différentes périodes de chaque régime par la construction d’une chaîne de Markov cachée et à estimer la queue de distribution de chaque régime par des lois puissances. Nous montrons empiriquement que ces dernières sont plus adaptées que les lois normales et les lois stables. L’estimation de la VaR est validée par plusieurs backtests et comparée aux résultats d’autres modèles classiques sur une base de 56 actifs boursiers. Dans la deuxième partie, nous supposons que les prix boursiers sont modélisés par des exponentielles de processus de Lévy. Dans un premier temps, nous développons une méthode numérique pour le calcul de la VaR et la CVaR cumulatives. Ce problème est résolu en utilisant la formalisation de Rockafellar et Uryasev, que nous évaluons numériquement par inversion de Fourier. Dans un deuxième temps, nous nous intéressons à la minimisation du risque de couverture des options européennes, sous une contrainte budgétaire sur le capital initial. En mesurant ce risque par la CVaR, nous établissons une équivalence entre ce problème et un problème de type Neyman-Pearson, pour lequel nous proposons une approximation numérique s’appuyant sur la relaxation de la contrainte

This thesis studies the risk management and hedging, based on the Value-at-Risk (VaR) and the Conditional Value-at-Risk (CVaR) as risk measures. The first part offers a stocks return model that we test in real data from NSYE Euronext. Our model takes into account the probability of occurrence of extreme losses and the regime switching observed in the data. Our approach is to detect the different periods of each regime by constructing a hidden Markov chain and estimate the tail of each regime distribution by power laws. We empirically show that powers laws are more suitable than Gaussian law and stable laws. The estimated VaR is validated by several backtests and compared to other conventional models results on a basis of 56 stock market assets. In the second part, we assume that stock prices are modeled by exponentials of a Lévy process. First, we develop a numerical method to compute the cumulative VaR and CVaR. This problem is solved by using the formalization of Rockafellar and Uryasev, which we numerically evaluate by Fourier inversion techniques. Secondly, we are interested in minimizing the hedging risk of European options under a budget constraint on the initial capital. By measuring this risk by CVaR, we establish an equivalence between this problem and a problem of Neyman-Pearson type, for which we propose a numerical approximation based on the constraint…

Advisors/Committee Members: Deaconu, Madalina (thesis director), Lejay, Antoine (thesis director).

Subjects/Keywords: Value-At-Risk; Value-At-Risk Conditionnelle; Lois puissances; Modèles de Markov cachés; Processus de Lévy; Transformée de Fourier rapide; Lemme de Neyman-Pearson; Value-At-Risk; Conditional Value-At-Risk; Power laws; Hidden Markov models; Lévy processes; Fast Fourier transforms; Neyman-Pearson Lemma; 332.015 1

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Salhi, K. (2016). Risques extrêmes en finance : analyse et modélisation : Financial extreme risks : analysis and modeling. (Doctoral Dissertation). Université de Lorraine. Retrieved from http://www.theses.fr/2016LORR0192

Chicago Manual of Style (16^th Edition):

Salhi, Khaled. “Risques extrêmes en finance : analyse et modélisation : Financial extreme risks : analysis and modeling.” 2016. Doctoral Dissertation, Université de Lorraine. Accessed January 19, 2021. http://www.theses.fr/2016LORR0192.

MLA Handbook (7^th Edition):

Salhi, Khaled. “Risques extrêmes en finance : analyse et modélisation : Financial extreme risks : analysis and modeling.” 2016. Web. 19 Jan 2021.

Vancouver:

Salhi K. Risques extrêmes en finance : analyse et modélisation : Financial extreme risks : analysis and modeling. [Internet] [Doctoral dissertation]. Université de Lorraine; 2016. [cited 2021 Jan 19]. Available from: http://www.theses.fr/2016LORR0192.

Council of Science Editors:

Salhi K. Risques extrêmes en finance : analyse et modélisation : Financial extreme risks : analysis and modeling. [Doctoral Dissertation]. Université de Lorraine; 2016. Available from: http://www.theses.fr/2016LORR0192

University of Florida

27. Mafusalov, Aleksandr. Risk Management Approaches in Distribution Approximation, Regression, and Classification.

Degree: PhD, Industrial and Systems Engineering, 2017, University of Florida

URL: https://ufdc.ufl.edu/UFE0050903

► One chapter of this study targets regression as a potential application. The concept of Conditional Value-at-Risk (CVaR) is used in various applications in uncertain environment.… (more)

Subjects/Keywords: buffered-probability-of-exceedance – conditional-value-at-risk – cvar-norm – density-estimation – regression – risk-quadrangle – superquantile

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APA (6^th Edition):

Mafusalov, A. (2017). Risk Management Approaches in Distribution Approximation, Regression, and Classification. (Doctoral Dissertation). University of Florida. Retrieved from https://ufdc.ufl.edu/UFE0050903

Chicago Manual of Style (16^th Edition):

Mafusalov, Aleksandr. “Risk Management Approaches in Distribution Approximation, Regression, and Classification.” 2017. Doctoral Dissertation, University of Florida. Accessed January 19, 2021. https://ufdc.ufl.edu/UFE0050903.

MLA Handbook (7^th Edition):

Mafusalov, Aleksandr. “Risk Management Approaches in Distribution Approximation, Regression, and Classification.” 2017. Web. 19 Jan 2021.

Vancouver:

Mafusalov A. Risk Management Approaches in Distribution Approximation, Regression, and Classification. [Internet] [Doctoral dissertation]. University of Florida; 2017. [cited 2021 Jan 19]. Available from: https://ufdc.ufl.edu/UFE0050903.

Council of Science Editors:

Mafusalov A. Risk Management Approaches in Distribution Approximation, Regression, and Classification. [Doctoral Dissertation]. University of Florida; 2017. Available from: https://ufdc.ufl.edu/UFE0050903

University of Helsinki

28. Cheng, Zhuo. Application of Conditional Value-at-Risk in Forest Management Planning.

Degree: Department of Forest Sciences; Helsingfors universitet, Agrikultur- och forstvetenskapliga fakulteten, Institutionen för skogsvetenskaper, 2015, University of Helsinki

URL: http://hdl.handle.net/10138/155800

► Risk management is essential in forest management planning. However, decision making with risk analysis is rarely done in forestry. This study presents an example of… (more)

Subjects/Keywords: Conditional Value-at-Risk; CVaR; Stochastic programming; forest management planning; risk management; Skogsekonomi; Forest Economics; Metsäekonomia

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APA (6^th Edition):

Cheng, Z. (2015). Application of Conditional Value-at-Risk in Forest Management Planning. (Masters Thesis). University of Helsinki. Retrieved from http://hdl.handle.net/10138/155800

Chicago Manual of Style (16^th Edition):

Cheng, Zhuo. “Application of Conditional Value-at-Risk in Forest Management Planning.” 2015. Masters Thesis, University of Helsinki. Accessed January 19, 2021. http://hdl.handle.net/10138/155800.

MLA Handbook (7^th Edition):

Cheng, Zhuo. “Application of Conditional Value-at-Risk in Forest Management Planning.” 2015. Web. 19 Jan 2021.

Vancouver:

Cheng Z. Application of Conditional Value-at-Risk in Forest Management Planning. [Internet] [Masters thesis]. University of Helsinki; 2015. [cited 2021 Jan 19]. Available from: http://hdl.handle.net/10138/155800.

Council of Science Editors:

Cheng Z. Application of Conditional Value-at-Risk in Forest Management Planning. [Masters Thesis]. University of Helsinki; 2015. Available from: http://hdl.handle.net/10138/155800

29. Francisco RogÃrio Gomes Cruz. Modelagem condicional especÃfica da gestÃo de risco de mercado nos BRIC.

Degree: Master, 2013, Universidade Federal do Ceará

URL: http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=11576 ;

►

As economias emergentes que compÃem os BRIC, apesar de serem caracterizadas por heterogeneidades marcantes em termos econÃmicos, sociais e polÃticos, apresentam evidÃncias empÃricas sobre convergÃncia… (more)

▼

As economias emergentes que compÃem os BRIC, apesar de serem caracterizadas por heterogeneidades marcantes em termos econÃmicos, sociais e polÃticos, apresentam evidÃncias empÃricas sobre convergÃncia parcial e integraÃÃo financeira. Neste sentido, este trabalho agrega a discussÃo sobre gestÃo de risco dos principais Ãndices de mercado dos BRIC atravÃs do Value at Risk, em sua versÃo paramÃtrica gaussiana incondicional e extensÃes que acomodam as violaÃÃes sobre a nÃo normalidade e a heterocedasticidade dos retornos diÃrios. Corroborando estudos especÃficos para cada economia, Jianshe (2007) para o mercado chinÃs, Karmakar (2005) para o indiano e Thupayagale (2010) para o russo, evidencia-se ser necessÃrio adaptar o arcabouÃo visando modelar a idiossincrasia estatÃstica da sÃrie temporal dos Ãndices, recorrendo a valores crÃticos associados Ã distribuiÃÃo de probabilidade mais adequada, alÃm da modelagem da evoluÃÃo condicional do risco. O trabalho ainda oferece uma mÃtrica dinÃmica de performance risco-retorno dos Ãndices sob a Ãtica dos investidores locais.

Although the bloc labeled BRIC is composed of emerging economies characterized by heterogeneity in economic, social and political aspects, there are empirical evidences about the convergence and partial financial integration. In this sense, we address the risk management of most relevant BRIC market indices through Value at Risk approach, based on a parametric Gaussian and unconditional version, and also extending it intending to accommodate violations of heteroscedasticity and non-normality of daily returns. Corroborating previous and specific evidences, as Jianshe (2007) for the Chinese market, Karmakar (2005) for the Indian and Thupayagale (2010) for Russian, we are able to show that it is necessary to adapt the canonical framework, because of the statistical idiosyncrasies of time series, using the critical values related to the best fitting probability distribution, and modeling the evolution of the conditional risk. We also provide a dynamic measure of risk-return performance of theses indices from the perspective of local investors.

Advisors/Committee Members: FabrÃcio Carneiro Linhares, Heber JosÃ de Moura, Paulo RogÃrio Faustino Matos, Alana Katielli Nogueira Azevedo.

Subjects/Keywords: CIENCIAS SOCIAIS APLICADAS; BRIC; Value at Risk; Volatilidade condicional; Normalidade; GrÃficos de Balzer; BRIC; Value at Risk; Conditional volatility; Normal distribution; Balzer graphs; IntegraÃÃo EconÃmica Internacional; FinanÃas Internacionais

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Cruz, F. R. G. (2013). Modelagem condicional especÃfica da gestÃo de risco de mercado nos BRIC. (Masters Thesis). Universidade Federal do Ceará. Retrieved from http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=11576 ;

Chicago Manual of Style (16^th Edition):

Cruz, Francisco RogÃrio Gomes. “Modelagem condicional especÃfica da gestÃo de risco de mercado nos BRIC.” 2013. Masters Thesis, Universidade Federal do Ceará. Accessed January 19, 2021. http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=11576 ;.

MLA Handbook (7^th Edition):

Cruz, Francisco RogÃrio Gomes. “Modelagem condicional especÃfica da gestÃo de risco de mercado nos BRIC.” 2013. Web. 19 Jan 2021.

Vancouver:

Cruz FRG. Modelagem condicional especÃfica da gestÃo de risco de mercado nos BRIC. [Internet] [Masters thesis]. Universidade Federal do Ceará 2013. [cited 2021 Jan 19]. Available from: http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=11576 ;.

Council of Science Editors:

Cruz FRG. Modelagem condicional especÃfica da gestÃo de risco de mercado nos BRIC. [Masters Thesis]. Universidade Federal do Ceará 2013. Available from: http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=11576 ;

KTH

30. Prastorfer, Andreas. Simulation-Based Portfolio Optimization with Coherent Distortion Risk Measures.

Degree: Mathematical Statistics, 2020, KTH

URL: http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-266382

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This master's thesis studies portfolio optimization using linear programming algorithms. The contribution of this thesis is an extension of the convex framework for portfolio… (more)

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This master's thesis studies portfolio optimization using linear programming algorithms. The contribution of this thesis is an extension of the convex framework for portfolio optimization with Conditional Value-at-Risk, introduced by Rockafeller and Uryasev. The extended framework considers risk measures in this thesis belonging to the intersecting classes of coherent risk measures and distortion risk measures, which are known as coherent distortion risk measures. The considered risk measures belonging to this class are the Conditional Value-at-Risk, the Wang Transform, the Block Maxima and the Dual Block Maxima measures. The extended portfolio optimization framework is applied to a reference portfolio consisting of stocks, options and a bond index. All assets are from the Swedish market. The returns of the assets in the reference portfolio are modelled with elliptical distribution and normal copulas with asymmetric marginal return distributions. The portfolio optimization framework is a simulation-based framework that measures the risk using the simulated scenarios from the assumed portfolio distribution model. To model the return data with asymmetric distributions, the tails of the marginal distributions are fitted with generalized Pareto distributions, and the dependence structure between the assets are captured using a normal copula. The result obtained from the optimizations is compared to different distributional return assumptions of the portfolio and the four risk measures. A Markowitz solution to the problem is computed using the mean average deviation as the risk measure. The solution is the benchmark solution which optimal solutions using the coherent distortion risk measures are compared to. The coherent distortion risk measures have the tractable property of being able to assign user-defined weights to different parts of the loss distribution and hence value increasing loss severities as greater risks. The user-defined loss weighting property and the asymmetric return distribution models are used to find optimal portfolios that account for extreme losses. An important finding of this project is that optimal solutions for asset returns simulated from asymmetric distributions are associated with greater risks, which is a consequence of more accurate modelling of distribution tails. Furthermore, weighting larger losses with increasingly larger weights show that the portfolio risk is greater, and a safer position is taken.

Denna masteruppsats behandlar portföljoptimering med linjära programmeringsalgoritmer. Bidraget av uppsatsen är en utvidgning av det konvexa ramverket för portföljoptimering med Conditional Value-at-Risk, som introducerades av Rockafeller och Uryasev. Det utvidgade ramverket behandlar riskmått som tillhör en sammansättning av den koherenta riskmåttklassen och distortions riksmåttklassen. Denna klass benämns som koherenta distortionsriskmått. De riskmått som tillhör denna klass och behandlas i uppsatsen och är Conditional Value-at-Risk, Wang Transformen, Block…

Subjects/Keywords: Risk Management; Portfolio Optimization; Conditional Value-at-Risk; Coherent Distortion Riks Measures; Elliptical Distribution; GARCH model; Normal Copulas; Extreme Value Theory; Risk Contributions; Riskhantering; Portföljoptimering; Conditional Value-at-Risk; Koherenta distortionsriskmått; Elliptiska fördelningar; GARCH modeller; Normal-copula; Extremvärdes teori; Riskbidrag; Mathematics; Matematik

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Prastorfer, A. (2020). Simulation-Based Portfolio Optimization with Coherent Distortion Risk Measures. (Thesis). KTH. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-266382

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Prastorfer, Andreas. “Simulation-Based Portfolio Optimization with Coherent Distortion Risk Measures.” 2020. Thesis, KTH. Accessed January 19, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-266382.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Prastorfer, Andreas. “Simulation-Based Portfolio Optimization with Coherent Distortion Risk Measures.” 2020. Web. 19 Jan 2021.

Vancouver:

Prastorfer A. Simulation-Based Portfolio Optimization with Coherent Distortion Risk Measures. [Internet] [Thesis]. KTH; 2020. [cited 2021 Jan 19]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-266382.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Prastorfer A. Simulation-Based Portfolio Optimization with Coherent Distortion Risk Measures. [Thesis]. KTH; 2020. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-266382

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

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Open Access Theses and Dissertations