Indira Gandhi Institute of Development Research

About: Indira Gandhi Institute of Development Research is a facility organization based out in Mumbai, Maharashtra, India. It is known for research contribution in the topics: Monetary policy & Inflation. The organization has 307 authors who have published 1021 publications receiving 18848 citations.

Selection of Value‐at‐Risk models

Abstract: Value-at-Risk (VaR) is widely used as a tool for measuring the market risk of asset portfolios. However, alternative VaR implementations are known to yield fairly different VaR forecasts. Hence, every use of VaR requires choosing among alternative forecasting models. This paper undertakes two case studies in model selection, for the S&P 500 index and India's NSE-50 index, at the 95% and 99% levels. We employ a two-stage model selection procedure. In the first stage we test a class of models for statistical accuracy. If multiple models survive rejection with the tests, we perform a second stage filtering of the surviving models using subjective loss functions. This two-stage model selection procedure does prove to be useful in choosing a VaR model, while only incompletely addressing the problem. These case studies give us some evidence about the strengths and limitations of present knowledge on estimation and testing for VaR. Copyright © 2003 John Wiley & Sons, Ltd.

Energy resource allocation incorporating qualitative and quantitative criteria: An integrated model using goal programming and AHP

Abstract: Energy resource allocation presents a multi-criteria decision making problem with the criteria being quantitative and/or qualitative. Solving such a problem requires an integrated approach. In this paper, an integrated model using goal programming and the Analytic Hierarchy Process (AHP) has been developed for energy resource allocation. It incorporates nine quantitative and three qualitative criteria. The model has been applied to the household sector of Madras, India. A detailed sensitivity analysis has also been carried out. Three additional scenarios have been developed. Use of the model suggested: natural gas, fuelwood and solar thermal for cooking; biogas and electricity generated from fuelwood for water pumping; and all decentralized electricity generation technologies for lighting and operating household appliances. Grid electricity was perferred only for lighting.