Sökning: "Marginal Expected Shortfall"

Visar resultat 1 - 5 av 7 uppsatser innehållade orden Marginal Expected Shortfall.

  1. 1. A Quantitative Evaluation of Systemic Risk in the European Banking Sector

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Jimmy Andersson; Anders Svernling; [2020-07-07]
    Nyckelord :Systemic risk measures; Systemic risk contribution; European banking supervision; Risk rankings;

    Sammanfattning : This paper proposes a cross-section analysis of systemic risk in the European banking sector. The absence of a general definition of systemic risk makes it difficult to use a single, practically relevant model. LÄS MER

  3. 2. Expected Shortfall Estimation

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Kristina Boehm; [2019]
    Nyckelord :normal; skewed; t-distribution; Expected Shortfall; Value at Risk; Business and Economics;

    Sammanfattning : This thesis evaluates the performance of Expected Shortfall estimation with normal, student-t and skewed distributions. It is stylized fact that student-t distribution generally outperforms normal distribution. LÄS MER

  4. 3. Developments in Systemic Risk since the Global Financial Crisis: Assessment of Eurozone and US Systemically Important Banks based on Marginal Expected Shortfall

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Richard Schmidt; [2018]
    Nyckelord :Systemic Risk; Systemically Important Banks; Marginal Expected Shortfall; Dynamic Conditional Correlation; GARCH; Business and Economics;

    Sammanfattning : Present essay investigates if the systemic riskiness of Eurozone and US systemically important banks decreased subsequently to the Global Financial Crisis of 2007/2008. For each of these institutions, time series of the analytical systemic risk measure MES are estimated based on public information. LÄS MER

  5. 4. The influence of consolidation and internationalization on systemic risk in the financial sector

    Master-uppsats, Uppsala universitet/Företagsekonomiska institutionen

    Författare :Rinke Bakker; [2018]
    Nyckelord :Marginal Expected Shortfall; Internationalization; Mergers and Acquisitions; Banking; Consolidation;

    Sammanfattning : This paper analyses the impact of banking mergers on systemic risk, with in particular if internationalization prior to acquisition increases systemic risk. By using the marginal expected shortfall methodology for an international sample of mergers, a significant increase in systemic risk is found as a result of mergers in the financial sector. LÄS MER

  7. 5. Robust portfolio optimization with Expected Shortfall

    Master-uppsats, KTH/Matematisk statistik

    Författare :Daniel Isaksson; [2016]
    Nyckelord :Robust Portfolio Optimization; Risk Management; Expected Shortfall; Elliptical Distributions; GARCH model; Normal Copula; Hybrid Generalized Pareto-Empirical-Generalized Pareto Marginals; Markowitz Mean-Variance Optimization; Contribution Expected Shortfall;

    Sammanfattning : This thesis project studies robust portfolio optimization with Expected Short-fall applied to a reference portfolio consisting of Swedish linear assets with stocks and a bond index. Specifically, the classical robust optimization definition, focusing on uncertainties in parameters, is extended to also include uncertainties in log-return distribution. LÄS MER