Sökning: "Expected Shortfall"

Visar resultat 1 - 5 av 42 uppsatser innehållade orden Expected Shortfall.

  1. 1. 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

  2. 2. 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

  3. 3. 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

  4. 4. Fundamental review of the trading book - The new approach to measure market risk

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Jonas Drakenberg; Samuel Hegnell; [2017]
    Nyckelord :Expected Shortfall; Value-at-Risk; Fundamental Review of the Trading Book; Bank for International Settlements; Basel Committee on Banking Supervision; Market risk; Parametric approach; Non-parametric approach; Business and Economics;

    Sammanfattning : The Fundamental Review of the Trading Book sets the standard for the most recent regulatory framework for minimum capital requirement within market risk. It will be implemented gradually up until 2019 and will overhaul a major part of the current regulation. LÄS MER

  5. 5. 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

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