Sökning: "Backtesting Expected Shortfall"

Visar resultat 1 - 5 av 7 uppsatser innehållade orden Backtesting Expected Shortfall.

  1. 1. The Performance of Market Risk Models for Value at Risk and Expected Shortfall Backtesting : In the Light of the Fundamental Review of the Trading Book

    Master-uppsats, KTH/Matematisk statistik

    Författare :Katja Dalne; [2017]
    Nyckelord :Risk Management; Financial Time Series; Value at Risk; Expected Shortfall; Monte Carlo Simulation; GARCH modeling; Copulas; Hybrid Distribution; Generalized Pareto Distribution; Extreme Value Theory; Backtesting; Liquidity Horizon; Basel regulation.;

    Sammanfattning : The global financial crisis that took off in 2007 gave rise to several adjustments of the risk regulation for banks. An extensive adjustment, that is to be implemented in 2019, is the Fundamental Review of the Trading Book (FRTB). LÄS MER

  2. 2. Non-parametricbacktesting of expected shortfall

    Master-uppsats, KTH/Matematisk statistik; KTH/Matematisk statistik

    Författare :Patrik Edberg; Benjamin Käck; [2017]
    Nyckelord :Backtesting Expected Shortfall; Non-parametric; Backtesting under Basel III; Backtesting under Fundamental review of the trading book.;

    Sammanfattning : Since the Basel Committee on Banking Supervision first suggested a transition to Expected Shortfall as the primary risk measure for financial institutions, the question on how to backtest it has been widely discussed. Still, there is a lack of studies that compare the different proposed backtesting methods. LÄS MER

  3. 3. Are GARCH models necessary for Expected Shortfall?

    Kandidat-uppsats, Lunds universitet/Statistiska institutionen

    Författare :Erik Berggren; [2017]
    Nyckelord :Forecasting; Backtesting; Value at Risk; Expected Shortfall; GARCH models; Mathematics and Statistics;

    Sammanfattning : Following the Basel Committee on Banking Supervision’s decision to move from Value at Risk to Expected Shortfall, risk managers will have to alter their methods for reporting risk. This paper sheds light on the question of which volatility models and distributional assumptions that works best for this new method of risk measurement by evaluating forecasts for the Swedish index OMXS30. LÄS MER

  4. 4. Backtesting expected shortfall: A quantitative evaluation

    Master-uppsats, KTH/Matematisk statistik

    Författare :Johan Engvall; [2016]
    Nyckelord :;

    Sammanfattning : How to measure risk is an important question in finance and much work has been done on how to quantitatively measure risk. An important part of this measurement is evaluating the measurements against the outcomes a procedure known as backtesting. A common risk measure is Expected shortfall for which how to backtest has been debated. LÄS MER

  5. 5. Backtesting Expected Shortfall: the design and implementation of different backtests

    Master-uppsats, KTH/Matematisk statistik

    Författare :Lisa Wimmerstedt; [2015]
    Nyckelord :Expected Shortfall; Backtests; Value-at-Risk; Elicitability;

    Sammanfattning : In recent years, the question of whether Expected Shortfall is possible to backtest has been a hot topic after the findings of Gneiting in 2011 that Expected Shortfall lacks a mathematical property called elicitability. However, new research has indicated that backtesting of Expected Shortfall is in fact possible and that it does not have to be very difficult. LÄS MER

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