Sökning: "Expected Shortfall ES"

Visar resultat 1 - 5 av 25 uppsatser innehållade orden Expected Shortfall ES.

1. 1. Risk Management and Sustainability - A Study of Risk and Return in Portfolios With Different Levels of Sustainability

   Master-uppsats, KTH/Matematik (Avd.)

   Författare :Magnus Borg; Lucas Ternqvist; [2023]
   Nyckelord :ESG; Value-at-Risk VaR ; Expected Shortfall ES ; Risk Management; Financial Risk; Financial Mathematics; Sustainability; Portfolio Management; Capital Asset Pricing Model CAPM ; Hållbarhet; Value-at-Risk VaR ; Expected Shortfall ES ; Riskhantering; Finansiell Risk; Finansiell Matematik; Portföljkonstruktion;

   Sammanfattning : This thesis examines the risk profile of Electronically Traded Funds and the dependence of the ESG rating on risk. 527 ETFs with exposure globally were analyzed. Risk measures considered were Value-at-Risk and Expected Shortfall, while some other metrics of risk was used, such as the volatility, maximum drawdown, tail dependece, and copulas. LÄS MER

3. 2. Indexanvändning i ramavtal : En strategi för att hantera en volatil marknad

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

   Författare :Sandra Herrgård; Clara Johansson; [2023]
   Nyckelord :inköp; ramavtal; indexreglering; volatil marknad; fasta priser; hedgeportfölj; Monte Carlo-simulering; riskreduktion;

   Sammanfattning : De senaste årens globala utveckling med pandemi, kriser och krig har satt Skanskas inköpsarbete på prov. Denna omvälvande situation har skapat en volatil marknad med en snabb prisutveckling, vilket har utmanat de befintliga prisklausulerna i Skanskas ramavtal som inte har kunnat hantera den verkliga kostnadsutvecklingen. LÄS MER

4. 3. Forecasting Value-at-Risk and Expected Shortfall: A comparison of non- and parametric methods for crude oil amidst extreme volatility

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Otto Colbin; Yugam Sharma; [2023]
   Nyckelord :Value-at-Risk VaR ; Expected Shortfall ES ; Nonparametric estimation methods; Parametric estimation methods; Crude oil.; Business and Economics;

   Sammanfattning : Practitioners primarily utilise nonparametric methods when estimating Value-at- Risk (VaR) and Expected Shortfall (ES) for computing capital requirements. However, various researchers assert that there are issues with those estimates, particularly amidst periods of market turmoil. LÄS MER

5. 4. Into the Trading Book: Estimating Expected Shortfall

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Robin Eric Schmutz; Leonard Schneider; [2023]
   Nyckelord :Expected shortfall; Trading book; Historical simulation; Parametric estimation; Backtesting; Business and Economics;

   Sammanfattning : In light of the revised 2019 proposals constituting the Fundamental Review of the Trading Book, which amend the third Basel Accord, expected shortfall is set to replace value at risk as the risk measure dictating banks' capital reserving requirements for exposure to market risk. This paper examines how best to accurately estimate expected shortfall from a regulatory perspective by carrying out an array of non-parametric as well as parametric methods over the recent years of financial instability. LÄS MER

7. 5. Modelling of Capital Requirements using LSTM and A-SA in CRR 3

   Master-uppsats, KTH/Matematik (Avd.)

   Författare :William Gan; [2022]
   Nyckelord :Capital Requirements; machine learning; neural networks; financial mathematics; risk management; CRR 3; FRTB; Kapitalkrav; maskininlärning; neurala nätverk; finansiell matematik; riskhantering; CRR 3; FRTB;

   Sammanfattning : In response to the Great Financial Crisis of 2008, a handful of measures were taken to increase the resilience toward a similar disaster in the future. Global financial regulatory entities implemented several new directives with the intention to enhance global capital markets, leading to regulatory frameworks where financial participants (FPs) are regulated with own fund's requirements for market risks. LÄS MER