Essays about: "Shortfall Risk"

Showing result 21 - 25 of 82 essays containing the words Shortfall Risk.

  1. 21. Imputation and Generation of Multidimensional Market Data

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Tobias Wall; Jacob Titus; [2021]
    Keywords : Time Series Imputation; Financial Time Series; Machine Learning; Deep Learning; Value at Risk; Expected Shortfall; Imputering av Tidsserier; Finansiella Tidsserier; Maskininlärning; Djupinlärning; Value at Risk; Expected Shortfall;

    Abstract : 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

  3. 22. Volatility and Risk – FIGARCH Modelling of Cryptocurrencies

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Julian Marvin Ulmer; Langkun Chen; [2021]
    Keywords : Cryptocurrencies; Conditional volatility; FIGARCH model; Monetary policy; Stressed expected shortfall; Business and Economics;

    Abstract : .... READ MORE

  4. 23. How Many Stocks Should You Buy? A Simulation Study on Portfolio Diversification for the Swedish Stock Market

    University essay from Lunds universitet/Matematisk statistik

    Author : Antonio Prgomet; [2021]
    Keywords : Portfolio Diversication; Modern Portfolio Theory; Quantitative Finance; Return Distributions; Shortfall Risk; Stochastic Dominance; Simulation Study.; Mathematics and Statistics;

    Abstract : For every stock investor, the question of how many stocks to buy is fundamental. The recommendations from the literature is wide and ranges from 10 to over 300. As a contrast, 41.79% of Swedish shareholders held only one stock in year 2020. READ MORE

  5. 24. Complementing Expected Shortfall with Directly Observable Risk Variables

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Pontus Johansson; [2021]
    Keywords : Expected shortfall; Tailrisk; Index Investing; Risk Management; Finance; Business and Economics;

    Abstract : 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

  6. 25. Estimating expected shortfall using an unconditional peaks-over-threshold method under an extreme value approach

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Rikard Wahlström; [2021]
    Keywords : expected shortfall; peaks-over-threshold; extreme value theory;

    Abstract : 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