Essays about: "Expected Tail Loss"

Found 5 essays containing the words Expected Tail Loss.

  1. 1. Value at Risk and Expected Shortfall risk measures using Extreme Value Theory

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Peter Johansson; [2019-01-22]
    Keywords : Extreme Value Theory; Generalized Pareto Distribution; Point-Over-Threshold method; risk measures; Value at Risk; Expected Shortfall;

    Abstract : Calculating risk measures as Value at Risk (VaR) and Expected Shortfall (ES) has become popular for institutions and agents in financial markets. A main drawback with these risk measures is that they traditionally assume a specific distribution, as the Normal distribution or the Student’s t distribution. READ MORE

  3. 2. Risk Managed Time Series Momentum

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Sutian Ming; Richard Eidestedt; [2015]
    Keywords : momentum crash; time series momentum; time-varying risk; optionality;

    Abstract : This paper aims to investigate the crashes of time series momentum and to explore a systematic approach that mitigates the crashes of this strategy. Similar to cross-sectional momentum, time series momentum is also prone to severe drawdowns subsequent of a market decline when market volatility is high, contemporaneous with market reversals. READ MORE

  4. 3. A Value-at-Risk Analysis of Credit Default Swaps and Stocks: Evidence from the European and North American Market

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Valeria Collu; Denise Bretlaender; [2014]
    Keywords : Value-at-Risk; credit risk; equity risk; historical simulation; credit default swaps;

    Abstract : This thesis analyzes credit and equity risk during the period from September 2006 to September 2014. The sample includes pairs of credit default swap (CDS) spreads and stock prices for 113 European and 93 North American companies. READ MORE

  5. 4. NIG distribution in modelling stock returns with assumption about stochastic volatility : Estimation of parameters and application to VaR and ETL.

    University essay from Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)

    Author : Magdalena Kucharska; Jolanta Pielaszkiewicz; [2009]
    Keywords : NIG distribution; Value at Risk; Expected Tail Loss; Lindberg method; EM algorithm; risk analysis; ETL; VaR;

    Abstract : We model Normal Inverse Gaussian distributed log-returns with the assumption of stochastic volatility. We consider different methods of parametrization of returns and following the paper of Lindberg, [21] we assume that the volatility is a linear function of the number of trades. READ MORE

  6. 5. NIG distribution in modelling stock returns with assumption about stochastic volatility : Estimation of parameters and application to VaR and ETL

    University essay from

    Author : Magdalena Kucharska; Jolanta Maria Pielaszkiewicz; [2009]
    Keywords : NIG distribution; Value at Risk; Expected Tail Loss; Lindberg method; EM algorithm; risk analysis; ETL; VaR;

    Abstract : We model Normal Inverse Gaussian distributed log-returns with the assumption of stochastic volatility. We consider different methods of parametrization of returns and following the paper of Lindberg, [21] we assume that the volatility is a linear function of the number of trades. READ MORE