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Visar resultat 6 - 10 av 16 uppsatser som matchar ovanstående sökkriterier.

1. 6. Backtesting Expected Shortfall A comparative empirical evaluation of different backtests

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Jesper Johansson; Viktor Fredriksson; [2020]
   Nyckelord :Expected Shortfall; Backtests; Value-at-Risk; Empirical; Risk; Business and Economics;

   Sammanfattning : This paper empirically evaluates whether different backtests for Expected Shortfall (ES) produce similar results. In 2016, the Basel Committee on Banking Supervision proposed a shift from Value-at-Risk (VaR) to ES as the industry standard when calculating capital requirements for banks. However, ES has been found difficult to backtest. LÄS MER

3. 7. A comparative study of VaR and ES using extreme value theory

   Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Klara Andersson; [2020]
   Nyckelord :extreme value theory; block maxima; peaks-over-threshold; backtesting; value-at-risk; expected shortfall; Business and Economics;

   Sammanfattning : Using data from OMXS30, we study which of the models block maxima and peaks-over-threshold, based on extreme value theory, are the most accurate when estimating the risk measures Value-at-Risk and Expected Shortfall. To perform this analysis, the risk measures are backtested. LÄS MER

4. 8. Comparing the Liquidity-Adjusted Expected Shortfall Models Over High and Low Liquid Stocks Portfolios: Empirical Results on Thailand Stock Market

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Watsachol Koosamart; Biyun Meng; [2020]
   Nyckelord :expected shortfall; liquidity adjustment; bid-ask spread; liquidity discount; liquidation time; Business and Economics;

   Sammanfattning : The stylized fact that stock markets are not perfectly liquid propels banks to incorporate liquidity risk in the risk metrics so that market risk can be managed properly. Disregarding liquidity risk can lead to an underestimation of overall risk and substantial losses. LÄS MER

5. 9. Predicting Exchange Rate Value-at-Risk and Expected Shortfall: A Neural Network Approach

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Anna Bijelic; Tilila Ouijjane; [2019]
   Nyckelord :Value-at-Risk; Expected Shortfall; Recurrent Neural Networks; GRU; GARCH 1; 1 ; Exchange Rate Volatility; Intra-day Data; Business and Economics;

   Sammanfattning : On the basis of the recommendation of the Basel Committee on Banking Supervision to transition from Value-at-Risk (VaR) to Expected Shortfall (ES) in determining market risk capital, this paper attempts to investigate whether a Recurrent Neural Network provides more accurate VaR and ES predictions of the EUR/USD exchange rate compared to the conventional GARCH(1,1) model. A number of previous studies has confirmed the forecasting ability of a plain vanilla Feedforward Neural Network over traditional statistical models. LÄS MER

7. 10. 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