Essays about: "Fundamental Review of the Trading Book"
Showing result 1 - 5 of 9 essays containing the words Fundamental Review of the Trading Book.
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1. Do you want to swap? A study of the liquidity risk in the SEK interest rate swap market
University essay from Göteborgs universitet/Graduate SchoolAbstract : Interest rate swaps are one of the world’s most essential interest rate derivatives. It is therefore important to understand the pricing of these agreements, and how the market is functioning. READ MORE
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2. Into the Trading Book: Estimating Expected Shortfall
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : In light of the revised 2019 proposals constituting the Fundamental Review of the Trading Book, which amend the third Basel Accord, expected shortfall is set to replace value at risk as the risk measure dictating banks' capital reserving requirements for exposure to market risk. This paper examines how best to accurately estimate expected shortfall from a regulatory perspective by carrying out an array of non-parametric as well as parametric methods over the recent years of financial instability. READ MORE
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3. An Empirical Study: Expected Shortfall Estimation Methods for a Bank's Trading Book
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : This thesis investigates methods that estimate the Expected Shortfall correctly by passing the Acerbi-Szekely (2014) backtest in both stressed and calm periods. This backtest is added to in this thesis to test against both under- and overestimation of ES. READ MORE
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4. Estimating Expected Shortfall Using Parametric and Non-Parametric Approaches
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : With the implementation of the Fundamental Review of the Trading Book in January of 2022, financial institutions will be obligated to implement Expected Shortfall as a means of determining market risk capital. With the transition from Value at Risk to Expected Shortfall, the question of how to accurately forecast Expected Shortfall arises. READ MORE
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5. The Performance of Market Risk Models for Value at Risk and Expected Shortfall Backtesting : In the Light of the Fundamental Review of the Trading Book
University essay from KTH/Matematisk statistikAbstract : The global financial crisis that took off in 2007 gave rise to several adjustments of the risk regulation for banks. An extensive adjustment, that is to be implemented in 2019, is the Fundamental Review of the Trading Book (FRTB). READ MORE