Essays about: "Albin Markgren"
Found 1 essay containing the words Albin Markgren.
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1. Backtesting Expected Shortfall : A qualitative study for central counterparty clearing
University essay from Umeå universitet/Institutionen för matematik och matematisk statistikAbstract : 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. READ MORE
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