Essays about: "Expected Shortfall"

Showing result 1 - 5 of 55 essays containing the words Expected Shortfall.

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

    University essay from Göteborgs universitet/Graduate School

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

    Abstract : MSc in Finance.... READ MORE

  2. 2. Downside risk: is downside risk being priced in the U.S. stock market?

    University essay from

    Author : Raouf Bahsoun; Arsalan Hakimi; [2020-07-06]
    Keywords : Excess kurtosis; skewness; Value-at-Risk; Expected shortfall; semi deviation; downside beta; Sortino ratio; Fama-French three-factor model; Fama French Five Factor model; Carhart four-factor model; q-four factor model; q-five factor model; asset pricing; U.S. stock market;

    Abstract : This paper aims to add further research to the field of downside risk, and downside risk measures’ influence on the average returns in the U.S. stock market. READ MORE

  3. 3. Backtesting Expected Shortfall A comparative empirical evaluation of different backtests

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Jesper Johansson; Viktor Fredriksson; [2020]
    Keywords : Expected Shortfall; Backtests; Value-at-Risk; Empirical; Risk; Business and Economics;

    Abstract : This paper empirically evaluates whether different backtests for Expected Shortfall (ES) produce similar results. In 2016, the Basel Committee on Banking Supervision proposed a shift from Value-at-Risk (VaR) to ES as the industry standard when calculating capital requirements for banks. However, ES has been found difficult to backtest. READ MORE

  4. 4. Considerations and Development of a Ventilation on Demand System in Konsuln Mine

    University essay from Luleå tekniska universitet/Geoteknologi

    Author : Seth Gyamfi; [2020]
    Keywords : Ventilation on demand VOD ; Swedish Occupational Health Safety OH S regulations; Threshold Limit Value TLV ; Ventilation model; Diesel; battery-powered; heat; and blast simulations; Contaminants;

    Abstract : Ventilation on demand (VOD) concept has earned significant worldwide attention by several mining companies in recent years. It is a concept where airflow is provided only to areas that require ventilation. The implementation of the concept has resulted in significant savings in annual energy consumption and cost for several companies globally. READ MORE

  5. 5. A comparative study of VaR and ES using extreme value theory

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Klara Andersson; [2020]
    Keywords : extreme value theory; block maxima; peaks-over-threshold; backtesting; value-at-risk; expected shortfall; Business and Economics;

    Abstract : Using data from OMXS30, we study which of the models block maxima and peaks-over-threshold, based on extreme value theory, are the most accurate when estimating the risk measures Value-at-Risk and Expected Shortfall. To perform this analysis, the risk measures are backtested. READ MORE