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Found 2 essays matching the above criteria.

1. 1. Non-parametricbacktesting of expected shortfall

   University essay from KTH/Matematisk statistik

   Author : Patrik Edberg; Benjamin Käck; [2017]
   Keywords : Backtesting Expected Shortfall; Non-parametric; Backtesting under Basel III; Backtesting under Fundamental review of the trading book.;

   Abstract : Since the Basel Committee on Banking Supervision first suggested a transition to Expected Shortfall as the primary risk measure for financial institutions, the question on how to backtest it has been widely discussed. Still, there is a lack of studies that compare the different proposed backtesting methods. READ MORE

3. 2. Company revaluation after failed takeover bids - A study of the Nordic stock markets between 1985 and 2015

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Patrik Edberg; [2016]
   Keywords : Revaluation; Failed takeovers; Stock offers; Cash offers; Takeover attempt;

   Abstract : This thesis analyses the revaluation of targets of failed takeover bids in Sweden, Finland, Norway and Denmark under the period of 1985 until 2015. The findings in this thesis is that the offers made with cash rather than with stock resulted in a significant positive revaluation of an average of 13% while the stock offers resulted in a significantly lower revaluation with a mean of -10% total revaluation. READ MORE