Papers by Ahmad Mahir Razali
Value at risk (VaR) and conditional value at risk (CVaR) are frequently used as risk measure... more Value at risk (VaR) and conditional value at risk (CVaR) are frequently used as risk measures in risk management. VaR estimates the maximum expected loss over a given time period at a given acceptance level, whereas CVaR measures the extreme risk or the risk beyond VaR. This paper aims to
perform an empirical study on VaR and CVaR based on the daily returns of the Malaysian stock markets traded in Kuala Lumpur Composite Index (KLCI) over a time period using the RiskMetrics and the peaks over the threshold (POT) methods. In particular, the IGARCH (1, 1) model is applied for the RiskMetrics method, whereas the generalized Pareto distribution (GPD), a distribution based on an extreme value
theory, is considered for the POT method. The results show that the GPD, which is considered in the POT method, provides an adequate fit to the data of threshold excesses, and the POT is a more reliable measure of risks compared to the RiskMetrics.
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European Journal of Scientific Research, 2009
Abstract Malaysia possesses a very good potential of renewable energy. Recently, wind energy conv... more Abstract Malaysia possesses a very good potential of renewable energy. Recently, wind energy conversion is given a serious consideration in Malaysia. Since this country lies in the equatorial region and its climate is governed by the monsoons, the potential for wind ...
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The manufacturing industries are forced to meet the demand of the end users in many different asp... more The manufacturing industries are forced to meet the demand of the end users in many different aspects especially to reduce the number of defects. Since then, the manufacturers have adopted many strategies in order to achieve zero defect end products. Therefore, this research is ...
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European Journal of Scientific Research, 2009
European Journal of Scientific Research ISSN 1450-216X Vol.25 No.4 (2009), pp.672-678 © EuroJourn... more European Journal of Scientific Research ISSN 1450-216X Vol.25 No.4 (2009), pp.672-678 © EuroJournals Publishing, Inc. 2009 http://www.eurojournals.com/ejsr.htm ... Time Series Analysis of Solar Radiation Data in the Tropics ... Azami Zaharim Solar Energy Research Institute ...
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European Journal of Scientific Research, 2009
European Journal of Scientific Research ISSN 1450-216X Vol.26 No.1 (2009), pp.6-12 © EuroJournals... more European Journal of Scientific Research ISSN 1450-216X Vol.26 No.1 (2009), pp.6-12 © EuroJournals Publishing, Inc. 2009 http://www.eurojournals.com/ejsr.htm ... Fitting of Statistical Distributions to Wind Speed ... Azami Zaharim Solar Energy Research Institute, Universiti Kebangsaan ...
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Fuel and Energy Abstracts
An important factor to consider when evaluating wind energy potential is the wind speed persisten... more An important factor to consider when evaluating wind energy potential is the wind speed persistence. In this study, persistence of the wind speed in Peninsular Malaysia is investigated based on the hourly data available at 10 wind stations from 2007 to 2009. To determine the degree of persistence in the data for each station, stationarity and variability are investigated using unit-root tests and the test for equality of variance respectively. Results from the unit-root tests indicated that the hourly wind speed for each station exhibits stationarity. The test for equality of variance, based on Levene’s test, shows that there exists a significant difference in the variability of wind speed between the different stations. Because the variance of the hourly wind speeds for the Chuping station is the smallest observed, the wind speed observed at this location is the most persistent compared to other locations. However, it is more meaningful to measure the persistence at a particular level of speed, one suitable to generate energy. Accordingly, the wind speed duration curve method is applied to the observed data for each station. Consequently, the wind speed at Mersing is found to be the most persistent, and, consequently, this location has the most potential for energy production compared to other locations.► We introduced a simple way to determined the wind speed persistence based on stationarity properties in time series analysis. ► We evaluated the persistence of wind speed for 10 wind stations in Peninsular Malaysia. ► We also evaluated the persistence at a particular level of speed that is suitable to generate energy.
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Quality is an important objective in production or operational function. In mass production, a hi... more Quality is an important objective in production or operational function. In mass production, a high accuracy manufacture line, better quality and less variance are inevitable. Six Sigma is customer oriented, improving the whole process by using data and statistical method for enhancing quality management. The main barrier in achieving targeted quality is product variation which causes by differences in machines, suppliers, raw materials and production batch. If the product variation is uncontrolled, the product needs to be reworked. Six Sigma approach focuses on quality improvement by eliminating variation in manufacturing process. In this paper, the use of quality techniques in Six Sigma methods for process improvement by electronic component manufacturing company is discussed. Six Sigma method by DMAIC approach is proposed to reduce defect rate of wafer dice processing. The optimum parameters were established through the design of experiment to ensure the process was stable.
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Modern Applied Science, 2008
Chua Chee Ming School of Mathematical Sciences, Universiti Kebangsaaan Malaysia 43600 UKM Bangi, ... more Chua Chee Ming School of Mathematical Sciences, Universiti Kebangsaaan Malaysia 43600 UKM Bangi, Selangor, Malaysia Tel: 60-012-637-6723 E-mail:cheeming.chua@gmail.com Ahmad Mahir Razali School of Mathematical Sciences, Universiti Kebangsaaan Malaysia 43600 ...
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Proceedings of the 14th …, 2009
A feasibility study on the wind energy potential of Kuala Terengganu, Malaysia was carried out. T... more A feasibility study on the wind energy potential of Kuala Terengganu, Malaysia was carried out. The most commonly used distribution to fit wind speed data is the Weibull distribution. This distribution was applied to wind speed data for the year 2008. The data was taken daily ...
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Papers by Ahmad Mahir Razali
perform an empirical study on VaR and CVaR based on the daily returns of the Malaysian stock markets traded in Kuala Lumpur Composite Index (KLCI) over a time period using the RiskMetrics and the peaks over the threshold (POT) methods. In particular, the IGARCH (1, 1) model is applied for the RiskMetrics method, whereas the generalized Pareto distribution (GPD), a distribution based on an extreme value
theory, is considered for the POT method. The results show that the GPD, which is considered in the POT method, provides an adequate fit to the data of threshold excesses, and the POT is a more reliable measure of risks compared to the RiskMetrics.
perform an empirical study on VaR and CVaR based on the daily returns of the Malaysian stock markets traded in Kuala Lumpur Composite Index (KLCI) over a time period using the RiskMetrics and the peaks over the threshold (POT) methods. In particular, the IGARCH (1, 1) model is applied for the RiskMetrics method, whereas the generalized Pareto distribution (GPD), a distribution based on an extreme value
theory, is considered for the POT method. The results show that the GPD, which is considered in the POT method, provides an adequate fit to the data of threshold excesses, and the POT is a more reliable measure of risks compared to the RiskMetrics.