Essays about: "Statistical Backtesting"

Found 5 essays containing the words Statistical Backtesting.

1. 1. Modelling Risk in Real-Life Multi-Asset Portfolios

   University essay from KTH/Matematik (Avd.)

   Author : Karin Hahn; Axel Backlund; [2023]
   Keywords : Risk modelling; multi-asset portfolios; risk factor models; time series analysis; regression; Riskmodellering; finansiella portföljer; riskfaktormodeller; tidsserieanalys; regression;

   Abstract : We develop a risk factor model based on data from a large number of portfolios spanning multiple asset classes. The risk factors are selected based on economic theory through an analysis of the asset holdings, as well as statistical tests. READ MORE

3. 2. A comparative study of VaR and ES using extreme value theory

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Klara Andersson; [2020]
   Keywords : extreme value theory; block maxima; peaks-over-threshold; backtesting; value-at-risk; expected shortfall; Business and Economics;

   Abstract : Using data from OMXS30, we study which of the models block maxima and peaks-over-threshold, based on extreme value theory, are the most accurate when estimating the risk measures Value-at-Risk and Expected Shortfall. To perform this analysis, the risk measures are backtested. READ MORE

4. 3. Comparing the Liquidity-Adjusted Expected Shortfall Models Over High and Low Liquid Stocks Portfolios: Empirical Results on Thailand Stock Market

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Watsachol Koosamart; Biyun Meng; [2020]
   Keywords : expected shortfall; liquidity adjustment; bid-ask spread; liquidity discount; liquidation time; Business and Economics;

   Abstract : The stylized fact that stock markets are not perfectly liquid propels banks to incorporate liquidity risk in the risk metrics so that market risk can be managed properly. Disregarding liquidity risk can lead to an underestimation of overall risk and substantial losses. READ MORE

5. 4. Backtesting of simulated method for Counterparty Credit Risk

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

   Author : Love Lundström; Oscar Öhman; [2020]
   Keywords : Counterparty Credit Risk; Risk Factor; Monte Carlo Simulation; Quantitative Backtesting; Statistical Backtesting; OTC Derivative;

   Abstract : After the financial crisis of 2008 regulators found that the derivative market, where financial institutions traded OTC derivatives with each other, played a significantrole in triggering the crisis. This led to the emergence of Counterparty Credit Risk(CCR) which is used to measure the exposure banks have to their counterparties. READ MORE

6. 5. Predicting Exchange Rate Value-at-Risk and Expected Shortfall: A Neural Network Approach

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Anna Bijelic; Tilila Ouijjane; [2019]
   Keywords : Value-at-Risk; Expected Shortfall; Recurrent Neural Networks; GRU; GARCH 1; 1 ; Exchange Rate Volatility; Intra-day Data; Business and Economics;

   Abstract : On the basis of the recommendation of the Basel Committee on Banking Supervision to transition from Value-at-Risk (VaR) to Expected Shortfall (ES) in determining market risk capital, this paper attempts to investigate whether a Recurrent Neural Network provides more accurate VaR and ES predictions of the EUR/USD exchange rate compared to the conventional GARCH(1,1) model. A number of previous studies has confirmed the forecasting ability of a plain vanilla Feedforward Neural Network over traditional statistical models. READ MORE