Sökning: "Expected Shortfall"

Visar resultat 11 - 15 av 87 uppsatser innehållade orden Expected Shortfall.

1. 11. Risk Assessment of International Mixed Asset Portfolio with Vine Copulas

   Kandidat-uppsats, Linköpings universitet/Tillämpad matematik; Linköpings universitet/Tekniska fakulteten

   Författare :Axel Nilsson; [2022]
   Nyckelord :Vine Copulas; Extreme Value Theory; Financial Risk Management; Vine Copulas; Extremvärdesteori; Finansiell riskhantering;

   Sammanfattning : This thesis gives an example of assessing the risk of a financial portfolio with international assets, where the assets may be of different classes, by the use of Monte Carlo simulation and Extreme Value Theory. The simulation uses univariate modelling, models of the assets’ returns as stochastic processes, as well as vine copulas to create dependency between the variables. LÄS MER

3. 12. Backtesting Expected Shortfall : A qualitative study for central counterparty clearing

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

   Författare :Emil Berglund; Albin Markgren; [2022]
   Nyckelord :Expected Shortfall; Value-at-Risk; Initial Margin; Backtesting; Central Counterparty Clearing;

   Sammanfattning : Within Central Counterparty Clearing, the Clearing House collects Initial Margin from its Clearing Members. The Initial Margin can be calculated in many ways, one of which is by applying the commonly used risk measure Value-at-Risk. However, Value-at-Risk has one major flaw, namely its inability to encapsulate Tail Risk. LÄS MER

4. 13. 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

5. 14. Risk measurement of cryptocurrencies using value at risk and expected shortfall

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Van Cao Thi Hong; [2022]
   Nyckelord :cryptocurrencies; value at risk; expected shortfall; risk measurement; parametric methods; non-parametric methods; EWMA; GARCH; EGARCH; GJRGARCH; backtesting; Business and Economics;

   Sammanfattning : Cryptocurrencies are highly volatile and risky assets, therefore, it is of vital importance to find an appropriate model for risk measurement. This thesis compares three parametric and three non-parametric estimation methods to estimate the value at risk and the expected shortfall of five cryptocurrencies, namely Bitcoin (BTC), Ethereum (ETH), Binance coin (BNB), Ripple coin (XRP), and Cardano (ADA). LÄS MER

7. 15. Forecasting Exchange Rate Value-at-Risk and Expected Shortfall: A GARCH-EVT Approach

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Christoffer Titov; [2022]
   Nyckelord :GARCH; Extreme Value Theory; Value-at-Risk; Expected Shortfall; Exchange Rate Volatility; Business and Economics;

   Sammanfattning : This thesis aims to investigate the accuracy of Value-at-Risk and Expected Shortfall forecasts of various GARCH-type models based on five currency exchange rate pairs. The GARCH models are employed under different conditional distributional assumptions, and extended using the two-stage Extreme Value Theory (EVT) approach of McNeil and Frey (2000). LÄS MER