Results 261 to 270 of about 1,319,657 (283)
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SSRN Electronic Journal, 2004
AbstractCash Flow from operations can be controlled using real options. In this normative paper, we quantify Trigeorgis's intuition[Trigeorgis, L., 1996. Real options: Managerial flexibility and strategy in resource allocation. Cambridge, MA: MIT Press](p 123), about the risk management properties of real options with respect to downside risk.
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AbstractCash Flow from operations can be controlled using real options. In this normative paper, we quantify Trigeorgis's intuition[Trigeorgis, L., 1996. Real options: Managerial flexibility and strategy in resource allocation. Cambridge, MA: MIT Press](p 123), about the risk management properties of real options with respect to downside risk.
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Analysis of criteria VaR and CVaR
Journal of Banking & Finance, 2006Abstract Criteria VaR (Value-at-Risk) and CVaR (Conditional Value-at-Risk), which are well-known in financial mathematics, are compared. Some connection between them is established. Ways of choice a level of confidence probability for the quantile optimization problem are suggested. The ways are based on some equations of balance between VaR and CVaR.
Andrey I. Kibzun, Evgeniy A. Kuznetsov
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Multi-step static VAr compensators analysis
IEEE Power Engineering Society Summer Meeting,, 2003Since the concept of FACTS was introduced, a new family of power electronic equipment has emerged for controlling and optimizing the performance of power systems, e.g. STATCOM, SSSC and UPFC. The use of voltage-source inverter (VSI) has been widely accepted as the next generation of reactive power controllers to replace the conventional VAr ...
J.D. Ricardo M, J.M. Ramirez A, R. Tapia
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Risk spillovers between oil and stock markets: A VAR for VaR analysis
Energy Economics, 2019Abstract This article investigates the risk spillover effect between oil and stock markets using a novel multivariate quantile model (i.e., the VAR for VaR approach) and pseudo impulse-response functions. We explore the risk spillover at different quantiles using daily data over the period from January 4, 2000 through August 31, 2018.
Danyan Wen +3 more
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Time-domain analysis of static VAR compensator by modified nodal analysis
2018 5th International Conference on Electrical and Electronic Engineering (ICEEE), 2018In this study, the analysis of fixed capacitor thyristor controlled reactor (FC-TCR), one of Static VAR compensation techniques, is performed by modified nodal analysis (MNA). In the analysis, semiconductor elements are modelled with two- valued resistor concept. The resulting equations are solved by Trapezoidal method, used in numerical analysis.
YILDIZ, ALİ BEKİR, Akcay, Eren
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2016
Leptokurtosis poses an especially keen threat to the economically informed evaluation of market risk in the trading books of major financial institutions (including, but not limited to, those deemed systemically important to global financial stability). Why this should be so warrants a quick look at global banking regulation.
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Leptokurtosis poses an especially keen threat to the economically informed evaluation of market risk in the trading books of major financial institutions (including, but not limited to, those deemed systemically important to global financial stability). Why this should be so warrants a quick look at global banking regulation.
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Two applications of Structural VAR analysis
1997In this chapter we present the results of two different applications of Structural VAR analysis, which are intended to provide the reader with some evidence of the way in which the techniques described in this book can be concretely applied.
Gianni Amisano, Carlo Giannini
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A 4D‐Var re‐analysis of FASTEX
Quarterly Journal of the Royal Meteorological Society, 2003AbstractA complete re‐analysis of the Fronts and Atlantic Storm‐Track EXperiment (5 January–27 February 1997) is performed. It provides a reference description of the life cycle of an ensemble of cyclogeneses over the north Atlantic. Many aspects make this re‐analysis noteworthy.
G'erald Desroziers +2 more
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Model selection in Structural VAR analysis
1997In this chapter we explain how to use the dominance ordering and the likelihood dominance criteria introduced by Pollack and Wales (1991) as model selection devices in Structural VAR analysis1. In section 7.1 we recall the main aspects of model selection and we connect this issue directly to the Structural VAR framework.
Gianni Amisano, Carlo Giannini
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Analysis of GTO-based static VAr compensators
IEE Proceedings - Electric Power Applications, 1994The growing availability of high-power gate turn-off thyristors (GTOs) has meant that power electronic convertor circuits can be manufactured with the ability to both absorb and generate reactive power. These circuits constitute the next generation of static VAr compensators (SVCs) which may eventually supersede the conventional thyristor-controlled ...
D.R. Trainer +2 more
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