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Visar resultat 11 - 15 av 16 uppsatser som matchar ovanstående sökkriterier.

  1. 11. Non-parametricbacktesting of expected shortfall

    Master-uppsats, 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. 12. 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. 13. 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. 14. 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

  7. 15. Measuring Risk for WTI Crude Oil: An application of Parametric Expected Shortfall

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Alexander Eriksson; [2015]
    Nyckelord :Risk Expected shortfall VaR Backtesting Crude oil; Business and Economics;

    Sammanfattning : Oil is the most traded commodity in the world and is an important part in the global economy. The change in the price of oil has an effect on all sectors of the economy, and the ability to capture its risk is an important research topic. LÄS MER