Sökning: "Backtests"

Visar resultat 1 - 5 av 15 uppsatser innehållade ordet Backtests.

  1. 1. Empirical Analysis of Joint Quantile and Expected Shortfall Regression Backtests

    Master-uppsats, Uppsala universitet/Sannolikhetsteori och kombinatorik

    Författare :Viktor Ågren; [2023]
    Nyckelord :risk metric; expected shortfall; backtest; value at risk; empirical analysis;

    Sammanfattning : In this work, we look into the practical applicability of three joint quantile and expected shortfall regression backtests. The strict, auxiliary, and intercept ESR backtests are applied to the historical log returns of the OMX Stockholm 30 market-weight price index. LÄS MER

  3. 2. 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. 3. A Neural Network Approach for Generating Investors’ Views in the Black-Litterman Model

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Rafael Lavatt; [2022]
    Nyckelord :Black-Litterman; Neural Networks; Portfolio Optimization; Black-Litterman; Neurala nätverk; portföljoptimering;

    Sammanfattning : This thesis investigates how neural networks can be used to produce investors' views for the Black-Litterman market model. The study uses two data sets, one with global stock market indexes and one with stock market data from the S&P 500. LÄS MER

  5. 4. Risk Measurement and Performance Attribution for IRS Portfolios Using a Generalized Optimization Method for Term Structure Estimation

    Master-uppsats, Linköpings universitet/Produktionsekonomi

    Författare :Fredrik Gerdin Börjesson; Christoffer Eduards; [2021]
    Nyckelord :Interest rate measurement; term structures; multiple yield curves; principal component analysis; systematic risk; risk factors; term structure simulation; Latin hypercube sampling with dependence; risk measurement; value-at-risk; expected shortfall; interest rate swap; performance attribution;

    Sammanfattning : With the substantial size of the interest rate markets, the importance of accurate pricing, risk measurement and performance attribution can not be understated. However, the models used on the markets often have underlying issues with capturing the market's fundamental behavior. LÄS MER

  7. 5. Backtesting Expected Shortfall A comparative empirical evaluation of different backtests

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Jesper Johansson; Viktor Fredriksson; [2020]
    Nyckelord :Expected Shortfall; Backtests; Value-at-Risk; Empirical; Risk; Business and Economics;

    Sammanfattning : This paper empirically evaluates whether different backtests for Expected Shortfall (ES) produce similar results. In 2016, the Basel Committee on Banking Supervision proposed a shift from Value-at-Risk (VaR) to ES as the industry standard when calculating capital requirements for banks. However, ES has been found difficult to backtest. LÄS MER