Essays about: "Expected Shortfall"
Showing result 21 - 25 of 82 essays containing the words Expected Shortfall.
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21. Imputation and Generation of Multidimensional Market Data
University essay from Umeå universitet/Institutionen för matematik och matematisk statistikAbstract : 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
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22. Volatility and Risk – FIGARCH Modelling of Cryptocurrencies
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : .... READ MORE
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23. Complementing Expected Shortfall with Directly Observable Risk Variables
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : 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
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24. Estimating expected shortfall using an unconditional peaks-over-threshold method under an extreme value approach
University essay from Uppsala universitet/Statistiska institutionenAbstract : 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
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25. A study incorporating skewness in Expected Shortfall Estimation
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : 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