Sökning: "Backtesting Expected Shortfall"

Visar resultat 1 - 5 av 16 uppsatser innehållade orden Backtesting Expected Shortfall.

1. 1. Forecasting Value-at-Risk and Expected Shortfall: A comparison of non- and parametric methods for crude oil amidst extreme volatility

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Otto Colbin; Yugam Sharma; [2023]
   Nyckelord :Value-at-Risk VaR ; Expected Shortfall ES ; Nonparametric estimation methods; Parametric estimation methods; Crude oil.; Business and Economics;

   Sammanfattning : Practitioners primarily utilise nonparametric methods when estimating Value-at- Risk (VaR) and Expected Shortfall (ES) for computing capital requirements. However, various researchers assert that there are issues with those estimates, particularly amidst periods of market turmoil. LÄS MER

3. 2. Into the Trading Book: Estimating Expected Shortfall

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Robin Eric Schmutz; Leonard Schneider; [2023]
   Nyckelord :Expected shortfall; Trading book; Historical simulation; Parametric estimation; Backtesting; Business and Economics;

   Sammanfattning : 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

4. 3. 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

5. 4. 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. 5. 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