Essays about: "Statistical Backtesting"

Found 3 essays containing the words Statistical Backtesting.

  1. 1. 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

  2. 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

  3. 3. 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