Essays about: "Marginal Expected Shortfall"

Showing result 1 - 5 of 7 essays containing the words Marginal 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 : This paper proposes a cross-section analysis of systemic risk in the European banking sector. The absence of a general definition of systemic risk makes it difficult to use a single, practically relevant model. READ MORE

3. 2. Expected Shortfall Estimation

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Kristina Boehm; [2019]
   Keywords : normal; skewed; t-distribution; Expected Shortfall; Value at Risk; Business and Economics;

   Abstract : This thesis evaluates the performance of Expected Shortfall estimation with normal, student-t and skewed distributions. It is stylized fact that student-t distribution generally outperforms normal distribution. READ MORE

4. 3. Developments in Systemic Risk since the Global Financial Crisis: Assessment of Eurozone and US Systemically Important Banks based on Marginal Expected Shortfall

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Richard Schmidt; [2018]
   Keywords : Systemic Risk; Systemically Important Banks; Marginal Expected Shortfall; Dynamic Conditional Correlation; GARCH; Business and Economics;

   Abstract : Present essay investigates if the systemic riskiness of Eurozone and US systemically important banks decreased subsequently to the Global Financial Crisis of 2007/2008. For each of these institutions, time series of the analytical systemic risk measure MES are estimated based on public information. READ MORE

5. 4. The influence of consolidation and internationalization on systemic risk in the financial sector

   University essay from Uppsala universitet/Företagsekonomiska institutionen

   Author : Rinke Bakker; [2018]
   Keywords : Marginal Expected Shortfall; Internationalization; Mergers and Acquisitions; Banking; Consolidation;

   Abstract : This paper analyses the impact of banking mergers on systemic risk, with in particular if internationalization prior to acquisition increases systemic risk. By using the marginal expected shortfall methodology for an international sample of mergers, a significant increase in systemic risk is found as a result of mergers in the financial sector. READ MORE

6. 5. Robust portfolio optimization with Expected Shortfall

   University essay from KTH/Matematisk statistik

   Author : Daniel Isaksson; [2016]
   Keywords : Robust Portfolio Optimization; Risk Management; Expected Shortfall; Elliptical Distributions; GARCH model; Normal Copula; Hybrid Generalized Pareto-Empirical-Generalized Pareto Marginals; Markowitz Mean-Variance Optimization; Contribution Expected Shortfall;

   Abstract : This thesis project studies robust portfolio optimization with Expected Short-fall applied to a reference portfolio consisting of Swedish linear assets with stocks and a bond index. Specifically, the classical robust optimization definition, focusing on uncertainties in parameters, is extended to also include uncertainties in log-return distribution. READ MORE