Sökning: "Fundamental Review of the Trading Book"
Visar resultat 1 - 5 av 9 uppsatser innehållade orden Fundamental Review of the Trading Book.
1. Do you want to swap? A study of the liquidity risk in the SEK interest rate swap market
Master-uppsats, Göteborgs universitet/Graduate SchoolSammanfattning : Interest rate swaps are one of the world’s most essential interest rate derivatives. It is therefore important to understand the pricing of these agreements, and how the market is functioning. LÄS MER
2. Into the Trading Book: Estimating Expected Shortfall
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : 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
3. An Empirical Study: Expected Shortfall Estimation Methods for a Bank's Trading Book
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : This thesis investigates methods that estimate the Expected Shortfall correctly by passing the Acerbi-Szekely (2014) backtest in both stressed and calm periods. This backtest is added to in this thesis to test against both under- and overestimation of ES. LÄS MER
4. Estimating Expected Shortfall Using Parametric and Non-Parametric Approaches
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : With the implementation of the Fundamental Review of the Trading Book in January of 2022, financial institutions will be obligated to implement Expected Shortfall as a means of determining market risk capital. With the transition from Value at Risk to Expected Shortfall, the question of how to accurately forecast Expected Shortfall arises. LÄS MER
5. 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 statistikSammanfattning : 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