Essays about: "Stressed expected shortfall"

Found 3 essays containing the words Stressed expected shortfall.

  1. 1. 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

  3. 2. An Empirical Study: Expected Shortfall Estimation Methods for a Bank's Trading Book

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Laura Emina Ludolphy; Emilia Johansson; [2020]
    Keywords : Expected Shortfall; Trading Book; Student’s t-distribution; GARCH 1; 1 ; Volatility Weighted Historical Simulation; Business and Economics;

    Abstract : This thesis investigates methods that estimate the Expected Shortfall correctly by passing the Acerbi-Szekely (2014) backtest in both stressed and calm periods. This backtest is added to in this thesis to test against both under- and overestimation of ES. READ MORE

  4. 3. Risk Measures and Dependence Modeling in Financial Risk Management

    University essay from Institutionen för fysik

    Author : Kristofer Eriksson; [2014]
    Keywords : Dependence; Correlation; Copulas; Risk measures; Extreme value theory;

    Abstract : In financial risk management it is essential to be able to model dependence in markets and portfolios in an accurate and efficient way. A high positive dependence between assets in a portfolio can be devastating, especially in times of crises, since losses will most likely occur at the same time in all assets for such a portfolio. READ MORE