Blar i NHH Brage på emneord "risk management"
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Integrated maritime bunker management with stochastic fuel prices and new emission regulations
(Discussion paper;13/16, Working paper, 2016-08-25)Maritime bunker management (MBM) controls the procurement and consumption of the fuels used on board and therefore manages one of the most important cost drivers in the shipping industry. At the operational level, a shipping ... -
Modeling international financial returns with a multivariate regime switching copula
(Discussion paper, Working paper, 2008-03)In order to capture observed asymmetric dependence in international financial returns, we construct a multivariate regime-switching model of copulas. We model dependence with one Gaussian and one canonical vine copula ... -
Some crude approximation, calibration and estimation procedures for NIG-variates
(Discussion paper, Working paper, 2002-11)In this paper we explore some crude approximation, calibration and estimation procedures for Normal Inverse Gaussian (NIG) variates of potential use in risk management. Among others we treat in some detail the calibration ...