Power plant investment decisions under carbon price uncertainty

Απλή σελίδα τεκμηρίου
dc.contributor.authorLoulas, Minas D.en
dc.date.accessioned2015-03-23T13:52:59Z
dc.date.available2015-09-27T05:56:09Z
dc.date.issued2015-03-23
dc.identifier.urihttps://repository.ihu.edu.gr/xmlui/handle/11544/42
dc.rightsDefault License
dc.titlePower plant investment decisions under carbon price uncertaintyen
heal.abstractThis study aims in two directions. First of all, it analyzes in a non technical way the main characteristics of the three Basel Accords since 1988 when the first accord was established. The accords are a set of agreements and their regulatory rules must be followed by the international banks and the financial institutions worldwide. The Basel Committee started with the implementation of the first accord, but due to the changes in the financial market in the 1990‟s, it decided to present a new updated framework. In December 2010 the implementation of the Basel III Accord came as a response to the recent financial crisis bringing innovations with regards to the various risks that an international bank may face. One form of these risks is market risk. The second part of this study in the second part aims to calculate the market risk of a portfolio of Greek bonds following the variance-covariance approach. Through this approach, it aims to answer if this model is operational. Last but not least, this study aims to connect the Basel Accord with the estimation of the risks and present the capital requirements that a bank can set aside by holding this portfolio.en
heal.academicPublisherMSc in Energy Systems /School of Science and Technologyen
heal.academicPublisherIDihu
heal.accessfreeel
heal.advisorNameChalamandaris, Dr Georgeen
heal.bibliographicCitationLoulas, Minas D., Power plant investment decisions under carbon price uncertainty, International Hellenic University, Thessaloniki, 2011en
heal.committeeMemberNameChalamandaris, Dr Georgeen
heal.committeeMemberNameAlexakisen
heal.committeeMemberNameTsekrekosen
heal.fullTextAvailabilitytrue
heal.languageen
heal.licensehttp://creativecommons.org/licenses/by-nc/4.0
heal.numberOfPages62
heal.publicationDate2012-07-05
heal.recordProviderSchool of Economics, Business Administration and Legal Studies, MSc in Banking and Finance
heal.tableOfContentsI. Abstract ................................................................................................................................... 4 II. Acknowledgments.................................................................................................................... 5 Chapter 1. Introduction .................................................................................................................. 6 Chapter 2. Literature Review ......................................................................................................... 8 Chapter 3. Theoretical analysis of the Basel Accords ....................................................................12 3.1. The Basel Committee .............................................................................................................12 3.2. The Basel I Accord .................................................................................................................12 3.2.1. The Structure of the Accord ......................................................................................13 3.3. Market Risk- The 1996 Amendment .......................................................................................15 3.3.1. The Standardized Approach ......................................................................................16 3.3.2. The Internal Model Approach ...................................................................................17 3.4. The Basel II Accord ................................................................................................................19 3.4.1. The structure of the Accord.......................................................................................19 3.4.1.i. Pillar 1 .......................................................................................................................20 3.4.1.ii. Pillar 2 ......................................................................................................................22 3.4.1.iii. Pillar 3 .....................................................................................................................23 3.5. The Basel III Accord ..............................................................................................................25 3.5.1. Capital Requirements................................................................................................25 3.5.2. Additional Buffers ....................................................................................................26 3.5.3. Leverage and Liquidity Ratios ..................................................................................27 3.5.4. Revised Market Risk Framework ..............................................................................28 Chapter 4. Research Design and Methodology ..............................................................................30 4.1. Introduction .................................................................................................................30 4.2. Data ............................................................................................................................30 4.3. Methodology ...............................................................................................................31 4.3.1. Value-At-Risk Procedure .............................................................................................31 4.3.2. Backtesting Procedures ................................................................................................34 Chapter 5. Empirical Results ........................................................................................................38 5.1. Value-at-Risk Computation .........................................................................................38 5.2. Backtesting Results .....................................................................................................42 Chapter 6. Conclusion ..................................................................................................................48 References ....................................................................................................................................50 Appendix ......................................................................................................................................53en
heal.typemasterThesis

Αρχεία

Πρωτότυπος φάκελος/πακέτο

Τώρα δείχνει 1 - 1 από 1
Μικρογραφία εικόνας
Ονομα:
Minas.Christos.pdf
Μέγεθος:
1.39 MB
Μορφότυπο:
Adobe Portable Document Format
Περιγραφή:
Κατεβάστε

Φάκελος/Πακέτο αδειών

Τώρα δείχνει 1 - 1 από 1
Δεν υπάρχει διαθέσιμη μικρογραφία
Ονομα:
license.txt
Μέγεθος:
1.71 KB
Μορφότυπο:
Item-specific license agreed upon to submission
Περιγραφή:
Κατεβάστε

Συλλογές

Theses and dissertations