Sökning: "Expected Shortfall"
Visar resultat 1 - 5 av 42 uppsatser innehållade orden Expected Shortfall.
- D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi
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. The Performance of Market Risk Models for Value at Risk and Expected Shortfall Backtesting : In the Light of the Fundamental Review of the Trading BookMaster-uppsats, KTH/Matematisk statistik
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
- Master-uppsats, KTH/Matematisk statistik; KTH/Matematisk statistik
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
- Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen
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
- Kandidat-uppsats, Lunds universitet/Statistiska institutionen
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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