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Var Planning Problem Considering Conditional Value-at-Risk Assessment
(Ieee, 2014-01-01)
This paper presents the reactive power planning solution under risk assessment through the CVaR (Conditional-Value-at-Risk) using stochastic programming. Load uncertainty is modeled by distribution function. Uncertainty ...
Var planning problem considering conditional value-at-risk assessment
(2014-01-01)
This paper presents the reactive power planning solution under risk assessment through the CVaR (Conditional-Value-at-Risk) using stochastic programming. Load uncertainty is modeled by distribution function. Uncertainty ...
Reactive power planning under conditional-value-at-risk assessment using chance-constrained optimisation
(Inst Engineering Technology-iet, 2015-02-19)
This study presents a risk-assessment approach to the reactive power planning problem. Chance-constrained programming is used to model the random equivalent availability of existing reactive power sources for a given ...
Evaluating Value-at-Risk models via Quantile regressions
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2008-09-04)
This paper is concerned with evaluating value at risk estimates. It is well known that using only binary variables to do this sacrifices too much information. However, most of the specification tests (also called backtests) ...
Reactive power planning under conditional-value-at-risk assessment using chance-constrained optimisation
(Inst Engineering Technology-iet, 2015)
Reactive power planning under conditional-value-at-risk assessment using chance-constrained optimisation
(Inst Engineering Technology-iet, 2015)
Assessing value-at-risk and expected shortfall predictionsTestes para avaliação das previsões de value-at-risk e expected shortfall
(Lociedade Brasileira de Finanças, 2019)
Comparing conditional and stochastic volatility models: goodness of fit, forecasting and value-at-risk
(Universidade Federal de Minas GeraisUFMG, 2016-02-19)
In this work a comparison of three families of volatility models, namely the Autoregressive Conditional Heteroskedasticity (ARCH), Stochastic Volatility (SV) and Non-Gaussian State Space Models (NGSSM) is made according ...
Risk and Resilience Assessment With Component Criticality Ranking of Electric Power Systems Subject to Earthquakes
(2020)
Countries around the world suffer the dramatic impact of earthquakes and other natural hazards reflected in casualties, infrastructure damage, service interruptions, and recovery costs. Although disaster exposure consciousness ...
Análise de volatilidade e risco do mercado transoceânico à vista deminério de ferro via modelos ARMA-GARCH e medidas de risco VaR eCVaR
(Universidade Federal de Minas GeraisUFMG, 2016-08-05)
With the change in the seaborne iron ore pricing mechanism in 2009, from an annual benchmark system to a system based on monthly spot prices, as well as the spot sales without a pre-agreement, market agents have to deal ...