Sökning: "Laura Emina Ludolphy"

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  1. 1. An Empirical Study: Expected Shortfall Estimation Methods for a Bank's Trading Book

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Laura Emina Ludolphy; Emilia Johansson; [2020]
    Nyckelord :Expected Shortfall; Trading Book; Student’s t-distribution; GARCH 1; 1 ; Volatility Weighted Historical Simulation; Business and Economics;

    Sammanfattning : 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