Essays about: "expected shortfall"
Showing result 6 - 10 of 82 essays containing the words expected shortfall.
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6. Into the Trading Book: Estimating Expected Shortfall
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : 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
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7. Peeking Through the Leaves : Improving Default Estimation with Machine Learning : A transparent approach using tree-based models
University essay from Umeå universitet/Institutionen för matematik och matematisk statistikAbstract : In recent years the development and implementation of AI and machine learning models has increased dramatically. The availability of quality data paving the way for sophisticated AI models. Financial institutions uses many models in their daily operations. READ MORE
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8. Empirical Analysis of Joint Quantile and Expected Shortfall Regression Backtests
University essay from Uppsala universitet/Sannolikhetsteori och kombinatorikAbstract : 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. READ MORE
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9. Generating Extreme Value Distributions in Finance using Generative Adversarial Networks
University essay from KTH/Matematik (Avd.)Abstract : This thesis aims to develop a new model for stress-testing financial portfolios using Extreme Value Theory (EVT) and General Adversarial Networks (GANs). The current practice of risk management relies on mathematical or historical models, such as Value-at-Risk and expected shortfall. READ MORE
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10. Risk Assessment of International Mixed Asset Portfolio with Vine Copulas
University essay from Linköpings universitet/Tillämpad matematik; Linköpings universitet/Tekniska fakultetenAbstract : This thesis gives an example of assessing the risk of a financial portfolio with international assets, where the assets may be of different classes, by the use of Monte Carlo simulation and Extreme Value Theory. The simulation uses univariate modelling, models of the assets’ returns as stochastic processes, as well as vine copulas to create dependency between the variables. READ MORE