Sökning: "Expected Shortfall"

Visar resultat 1 - 5 av 44 uppsatser innehållade orden Expected Shortfall.

  1. 1. Monte Carlo Simulations of Portfolios Allocated with Structured Products : A method to see the effect on risk and return for long time horizons

    Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för fysik

    Författare :Malin Fredriksson; [2018]
    Nyckelord :Monte Carlo; Finance; Value-at-Risk; Expected Shortfall; Portfolio; Non-linear instruments; Structured Products;

    Sammanfattning : Structured products are complex non-linear financial instruments that make it difficult to calculate their future risk and return. Two categories of structured products are Capital Protected and Participation notes, which are built by bonds and options. LÄS MER

  2. 2. The influence of consolidation and internationalization on systemic risk in the financial sector

    Master-uppsats, Uppsala universitet/Företagsekonomiska institutionen

    Författare :Rinke Bakker; [2018]
    Nyckelord :Marginal Expected Shortfall; Internationalization; Mergers and Acquisitions; Banking; Consolidation;

    Sammanfattning : This paper analyses the impact of banking mergers on systemic risk, with in particular if internationalization prior to acquisition increases systemic risk. By using the marginal expected shortfall methodology for an international sample of mergers, a significant increase in systemic risk is found as a result of mergers in the financial sector. LÄS MER

  3. 3. Investment in Value: A Copula Approach

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Gustaf Soldan Patrikson; Victor Andrée; [2017]
    Nyckelord :factor investing; copula; tail dependence; diversification;

    Sammanfattning : We evaluate how factor equity strategies are optimally combined, focusing on the role of the value factor (HML) against the background of a recent academic discussion about its potential redundancy, and the discovery of the investment (CMA) and profitability (RMW) factors. The analysis is centered around a conditional joint return distribution from a dynamic copula model, which allows for simulation with a time-varying and non-normal dependence structure. LÄS MER

  4. 4. 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

  5. 5. 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

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