Essays about: "Expected Shortfall"

Showing result 1 - 5 of 60 essays containing the words Expected Shortfall.

  1. 1. Imputation and Generation of Multidimensional Market Data

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik; Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Tobias Wall; Jacob Titus; [2021]
    Keywords : Time Series Imputation; Financial Time Series; Machine Learning; Deep Learning; Value at Risk; Expected Shortfall; Imputering av Tidsserier; Finansiella Tidsserier; Maskininlärning; Djupinlärning; Value at Risk; Expected Shortfall;

    Abstract : Market risk is one of the most prevailing risks to which financial institutions are exposed. The most popular approach in quantifying market risk is through Value at Risk. Organisations and regulators often require a long historical horizon of the affecting financial variables to estimate the risk exposures. READ MORE

  2. 2. Complementing Expected Shortfall with Directly Observable Risk Variables

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Pontus Johansson; [2021]
    Keywords : Expected shortfall; Tailrisk; Index Investing; Risk Management; Finance; Business and Economics;

    Abstract : This paper uses daily MSCI Sweden Index data to create one day out ES estimates on the $97.5\%$ percentile level for a SEK 100 portfolio. Thereafter the variables (i) the Riksbank's policy rate, (ii) the Riksbank's balance sheet, (iii) the cyclicality of GDP, and (iv) animal spirits are introduced and compared with ES. READ MORE

  3. 3. Estimating expected shortfall using an unconditional peaks-over-threshold method under an extreme value approach

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Rikard Wahlström; [2021]
    Keywords : expected shortfall; peaks-over-threshold; extreme value theory;

    Abstract : Value-at-Risk (VaR) has long been the standard risk measure in financial risk management. However, VaR suffers from critical shortcomings as a risk measure when it comes to quantifying the most severe risks, which was made especially apparent during the financial crisis of 2007–2008. READ MORE

  4. 4. A study incorporating skewness in Expected Shortfall Estimation

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Sreeja Madhavi Prajeesh; [2021]
    Keywords : Value at Risk; Expected shortfall; normal distribution; student t-distribution; skewed student t-distribution.; Business and Economics;

    Abstract : Expected Shortfall has become a prominent risk measure after the global financial crisis which hit the economy in 2007. This master thesis examines whether Expected Shortfall (ES) estimation gives better estimates when we incorporate skewness and the impact during turbulent versus tranquil period. READ MORE

  5. 5. Comparing Risk Parity Portfolios Does a Tail-Risk Parity strategy provide better downside protection than the Risk Parity strategy during economic crisis?

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Jesper Johansson; Mirza Omer; [2021]
    Keywords : Tail-risk parity; Risk parity; Expected Shortfall; Weight budgeting; Risk budgeting; Capital Allocation; Risk Contribution; Business and Economics;

    Abstract : This thesis evaluates the risk parity and tail-risk parity approach against conventional weight budgeting approach. The risk parity and tail-risk parity approach, in contrast to weight budgeting approach, is about distributing the risk between the asset classes in the portfolio. READ MORE