Essays about: "Fundamental Review of the Trading Book"

Showing result 1 - 5 of 9 essays containing the words Fundamental Review of the Trading Book.

1. 1. Do you want to swap? A study of the liquidity risk in the SEK interest rate swap market

   University essay from Göteborgs universitet/Graduate School

   Author : Viktor Edberg; Carl Hjelmqvist; [2023-06-29]
   Keywords : Bao; Pan; Wang indicator; Determinants; Dimensions of liquidity; Forward Rate Agreement; Fundamental Review of the Trading Book; Generalized least squares; Interest Rate Derivative; Interest Rate Swap; Liquidity horizon; Liquidity risk premium; Market liquidity; SVEN spread; Swap Spread; Swedish Government benchmark bond; Treasury-Eurodollar; Turnover ratio; Turnover-per-day; Volume-adjusted intraday volatility;

   Abstract : 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. READ MORE

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

   University essay from Lunds universitet/Nationalekonomiska institutionen

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

   Abstract : 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. READ MORE

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

   University essay from Lunds universitet/Nationalekonomiska institutionen

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

   Abstract : 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. READ MORE

5. 4. Estimating Expected Shortfall Using Parametric and Non-Parametric Approaches

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Fredrik Hedman; Emil Håkansson; [2020]
   Keywords : Value at Risk; Expected Shortfall; Normal distribution; t-distribution; Historical Simulation; Extreme Value Theory; Peaks Over Threshold; Business and Economics;

   Abstract : 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. READ MORE

6. 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

   University essay from KTH/Matematisk statistik

   Author : Katja Dalne; [2017]
   Keywords : Risk Management; Financial Time Series; Value at Risk; Expected Shortfall; Monte Carlo Simulation; GARCH modeling; Copulas; Hybrid Distribution; Generalized Pareto Distribution; Extreme Value Theory; Backtesting; Liquidity Horizon; Basel regulation.;

   Abstract : 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). READ MORE