Essays about: "Lisa Wimmerstedt"
Found 3 essays containing the words Lisa Wimmerstedt.
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1. Backtesting Expected Shortfall: the design and implementation of different backtests
University essay from KTH/Matematisk statistikAbstract : In recent years, the question of whether Expected Shortfall is possible to backtest has been a hot topic after the findings of Gneiting in 2011 that Expected Shortfall lacks a mathematical property called elicitability. However, new research has indicated that backtesting of Expected Shortfall is in fact possible and that it does not have to be very difficult. READ MORE
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2. Parametric Estimation of Value at Risk
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : Previous research has shown that the non-parametric Value at Risk methods normally used by financial institutions are conservative and that violations often happen in clusters. While earlier research has found efficiency gains from using parametric methods over non-parametric methods, a majority of the studies have been carried out on equity indices. READ MORE
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3. The optimal Inflation Target with respect to Swedish Unemployment
University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomiAbstract : The rise in unemployment experienced by Sweden in recent decades is assumed to be uncorrelated with the low rate of inflation. The generally accepted theory of a long-run vertical Phillips curve has lately been questioned by studies that show that a long-run trade-off between inflation and unemployment may exist at low levels of inflation. READ MORE
