Historical simulation approach

The paper considers the historical retrospective of the development of logistics paradigms and analyzes the apparatus used to solve applied logistics problems. Obstacles to the implementation of the integrated paradigm of logistics, its analytical approach and simulation tools are investigated, which allowed to determine the structure of the decision support system in the management of material flow and formulate the concept of logistics coordination.

15p longtimenosee07 29-03-2024 5 2   Download

Part 1 book "Risk management and financial institutions" includes content: banks; insurance companies and pension plans; mutual funds and hedge funds; trading in financial markets; the credit crisis of 2007; valuation and scenario analysis - the risk neutral and real worlds; how traders manage their risks; interest rate risk; volatility; correlations and copulas; value at risk and expected shortfall; historical simulation and extreme value theory; model building approach.

408p oursky03 21-08-2023 9 5   Download

This paper attempts to picture the impact of the market risk of ten commercial banks located in Bangladesh with the help of a non-parametric model known as the Historical Simulation Approach over the course of eight years.

21p nguaconbaynhay12 08-06-2021 10 1   Download

This paper examines the ability to capture the observed baseline temperature and precipitation (1986-2005) in the Ba River Basin from GCM outputs, RCM outputs, bias-corrected GCM outputs and bias-corrected RCM outputs by analyzing statistical indicators between historical simulations and observed data in 4 temperature and 6 rainfall stations. Bias-corrected results of both GCM and RCM have significantly smaller errors compared to the unbias-corrected ones.

9p abcxyz123_02 03-03-2020 8 0   Download

This thesis aimed to identify the approaches with the most academic impact and to explain them in greater detail. Hence, models of each category were chosen and compared. The non-parametric models were represented by the historical simulation, the parametric models by GARCH-type models (GARCH, RiskMetrics, IGARCH, FIGARCH, GJR, APARCH and EGARCH) and the semi-parametric models by the Monte Carlo simulation. The functional principle of each approach was explained, compared and contrasted.

140p nguyenyenyn117 18-06-2019 37 5   Download

This study examines and applies the three statistical value at risk models including variance-covariance, historical simulation, and Monte Carlo simulation in measuring market risk of VN-30 portfolio of Ho Chi Minh stock exchange (HOSE) in Vietnam stock market and some back-testing techniques in assessing the validity of the VaR performance in the timeframe of January 30, 2012–February 26, 2016.

24p danhnguyentuongvi27 18-12-2018 39 2   Download

Increased levels and volatility of food prices has led to a surge of interest in large-scale agriculture and land acquisition. This creates challenges for policy makers aiming to establish a policy environment conducive to an agrarian structure to contribute to broad-based development in the long term. Based on a historical review of episodes of growth of large farms and their impact, this paper identifies factors underlying the dominance of owner-operated farm structures and ways in which these may change with development.

37p thieubaotrang 23-04-2013 57 4   Download

However, the problem of personal ties and political factors influencing the loan decision does not mean that financial institutions necessarily need to be privately operated as has long been argued by the Bretton Woods institutions (i.e. World Bank 2001). Historical experience in a number of countries such as Chile (in the deregulation attempt of the 1980s) or in Indonesia (in the 1990s) show that a privatized banking sector does not necessarily allocate loans according to economic merit of the borrower.

40p enterroi 01-02-2013 47 4   Download