Value-at-Risk (VaR) is among financial institutions a commonly used tool for measuring market risk. Several methods to calculate VaR exists and different implementations often results in different VaR forecasts. An interesting implementation is historical simulation, and the purpose of this thesis is to examine whether historical simulation with Dynamic volatility updating is useful as a model to calculate VaR and how this differs in regard to type of asset or instrument. To carry out the investigation six different models are implemented, which then are tested for statistical accuracy through Christoffersens test. We find that incorporation of volatility updating into the historical simulation method in many cases improves the model.

The purpose of this paper was to examine the potential presence of a relationship between the quality of corporate financial disclosure and the volatility in stock price in the Swedish market. This was carried out by investigating the hypothesis that an accurate annual report with high information quality results in a decrease in volatility. Previous studies have been done with this approach and in some cases the above stated hypothesis was found to be true. Thus, in the absence of a perfect efficient market the level of information quality may to some extent explain the volatility in stock price. However, the result of our study gave no evidence in support of this hypothesis.

The purpose of this study is to examine the expiration day effect on a stocks volatility due to stock option expiration, which is every third Friday in the month on Stockholm stock exchange. Volatility is the standard deviation of a stock. It measures the uncertainty about a stocks future movement. When volatility increases, the chance or probability of a stock going up or down increases. It?s a common rumor among stock traders that stock volatility tends to increase nearby expiration day.

Purpose The purpose of our study was to investigate the changing nature of volatility during the last 80 years. Like in an American study, we tried to find some trends in the risk of stocks and bonds that would have an impact on the balance of a portfolio of stocks and bonds. At the same time we investigated the influence of inflation on the choice of portfolio. Methods We have used standard statistic tools and formulas to obtain our results. In most cases it was a matter of calculating average and standard deviation.

Title: Inflation and Investments, with Focus on Inflation-linked Bonds.Investors face many types of risks when allocating assets in a portfolio, e.g. volatility and inflation risk. Inflation risk will mainly affect investments in the long perspective. This thesis will examine those risks that an investor is commonly exposed to when allocating assets in a portfolio and in particular inflation-linked risk and how to eliminate it. We examine the correlation between different assets and inflation to determine the assets? ability to hedge inflation risk.

 This paper evaluates the effect of exchange rate risk on the sum of bilateral trade. To distinguish the effect between different types of countries, two groups are defined: advanced and developing economies. Economic theory on exchange rate risk and trade proposes ambiguous effects of increased volatility. However, the ex ante hypothesis is that developing economies are more sensitive to volatility. Contrarily to the hypothesis, the empirical results suggest that advanced economies would benefit up to twice as much from a removal of exchange rate risk.

The dairy market will change importantly in the coming years. The quota system, which has regulated the European dairy production, will disappear in 2015 and the European dairy market will then be importantly affected by the volatility characterizing the dynamic of world prices. Besides this, the global demand of dairy products is expected to increase due to the growing world population. Farmers in countries such as the U.S. and New Zealand, when compared to Swedish farmers, show greater familiarity and experience with risk management tools.

This paper describes a study examining four different GARCH models AR(1)-GARCH(1,1), AR(1)-EGARCH(1,1), AR(1)-APGARCH(1,1) and AR(1)-GJR-GARCH(1,1), and their ability to predict future volatility and thereby providing more reliable estimates for Value-at-Risk. The study is based on daily observations for the return of the OMX Stockholm 30 Index, during the time period 31st December 1996 to 29th December 2006. The coefficients for these GARCH models have been estimated using a five-year rolling estimation window, with one-year lags, for five different in-sample-periods. These five in-sample-periods, and the coefficients given by them, have been used to generate five out-of-sample predictions for the volatility in each year. Using these volatility predictions, the daily Value-at-Risk has been calculated for confidence intervals of 90 percent, 95 percent, and 99 percent, respectively, during the time period between 1st January 2001 and 29th December 2006.

Dynamic Air Diffuser.

The purpose of this paper is to investigate if a dynamic investment strategy on the Swedish asset market can accomplish better returns then a static investment strategy. The dynamic investment strategy is created by incorporating business cycle predictors and firm-level variables to predict future stock returns. The predictive regression is calculated wih 60 months of observation (1999 01-2005 12) and is then used to estimate future returns for 23 months in the period 2004 01 -2005 11. The structure of the regression, with linear functions of ? and ?, goes back to Shanken (1990) and Avramov and Chordia (2005) has had success with the variables chosen.

This paper investigates the automatic stabilizer and the underlying factors behind its function. The paper includes both a literature review and an empirical analysis. The literature review discusses the IS-LM and Mundell-Fleming models and different ways to quantify the automatic stabilizer. Based on the theory, the relationship between volatility in GDP and the size of the automatic stabilizers is then analyzed with the help of regressions. Our main result shows a negative relation between these two variables.

The aim of this Master of Science Thesis is to develop guidelines and improvementsuggestions of RiNOVA Traffic AB?s dynamic speed bump. The project started with athorough pre study of the design and its function to find out how passing vehiclesaffects the dynamic speed bump. The majority part of the pre study was to createnecessary mathematical models to explain the arisen forces and strains.The results of the mathematical models gave necessary information about the designregarding weaknesses and flaws. The most critical ones where those which interferedwith the design?s performance and reliability, and therefore needed to be corrected.These problems where more thorough analysed and discussed with experts before thefinal guidelines and improvement suggestions where developed.The parts of the design that had to be redesigned were the extension springs and thebearing that enables the dynamic properties.

Investors? use borrowing as a way to profit from leverage advantages in their portfolios.When investors borrow with their securities as safety for the loan and the value of thesecurities decrease the investor can get a portfolio with more credit than what is covered bythe value of the securities and risk huge losses. To what extent an investor is allowed toborrow with his portfolio as safety depends on the bank or broker and varies between theproviders. By studying available material and in addition to that making an empirical study Iattempt to find out the reason for the varying degrees of leverage possibilities between thebrokers and how the degree of maximum borrowing on the securities are decided. Thefindings show that decision of leverage degree on a security is made after first making aquantitative analysis of the stocks volatility and liquidity and thereafter make a qualitativeanalysis of the company.

This paper studies the option market?s implied dividend as a predictor of future equity market returns. We introduce this variable in the simple total return framework and discuss some complications of using it as a proxy for the expected dividend. We construct some regressions using the price-dividend ratio and the implied dividend growth, and test them on six years worth of data on the EURO STOXX 50-index. The main result is that implied dividend growth exhibits some forecastability over two-year horizons, but that the dataset is too short to draw any definitive conclusions about long-horizon forecastability.

Dysfunction of the upper respiratory tract is a common cause of impaired performance and intolerance to exercise in racehorses and include several upper airway obstructions. The ones termed dynamic obstructions are primarily seen during physical exertion and affected horses often appear to be normal during endoscope examination at rest. The correlation between diagnoses made at rest respectively exercise is low, suggesting that an examination at rest alone is likely to be insufficient. The upper respiratory tract is exposed to great differences in pressure throughout the respiratory cycle; variations that are further altered during strenuous exercise and affect the rigidity of upper airway structures. In presence of great fluctuations in pressure, stability is achieved through coordinated and synchronous neuromuscular mechanisms. Due to nerve damage or anatomical abnormalities, these functions may be disrupted and further cause a dynamic collapse of the upper respiratory tract when pressure changes become too severe. The etiology behind the neuromuscular dysfunction is not yet fully understood.