Sökning: "Albin Markgren"

Hittade 1 uppsats innehållade orden Albin Markgren.

  1. 1. Backtesting Expected Shortfall : A qualitative study for central counterparty clearing

    Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för matematik och matematisk statistik

    Författare :Emil Berglund; Albin Markgren; [2022]
    Nyckelord :Expected Shortfall; Value-at-Risk; Initial Margin; Backtesting; Central Counterparty Clearing;

    Sammanfattning : Within Central Counterparty Clearing, the Clearing House collects Initial Margin from its Clearing Members. The Initial Margin can be calculated in many ways, one of which is by applying the commonly used risk measure Value-at-Risk. However, Value-at-Risk has one major flaw, namely its inability to encapsulate Tail Risk. LÄS MER