Essays about: "Trading Book"

Showing result 1 - 5 of 31 essays containing the words Trading Book.

  1. 1. 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

  2. 2. Estimating Expected Shortfall Using Parametric and Non-Parametric Approaches

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Fredrik Hedman; Emil Håkansson; [2020]
    Keywords : Value at Risk; Expected Shortfall; Normal distribution; t-distribution; Historical Simulation; Extreme Value Theory; Peaks Over Threshold; Business and Economics;

    Abstract : With the implementation of the Fundamental Review of the Trading Book in January of 2022, financial institutions will be obligated to implement Expected Shortfall as a means of determining market risk capital. With the transition from Value at Risk to Expected Shortfall, the question of how to accurately forecast Expected Shortfall arises. READ MORE

  3. 3. Hierarchical text classification of fiction books : With Thema subject categories

    University essay from Linköpings universitet/Interaktiva och kognitiva system

    Author : Alice Reinaudo; [2019]
    Keywords : ;

    Abstract : Categorizing books and literature of any genre and subject area is a vital task for publishers which seek to distribute their books to the appropriate audiences. It is common that different countries use different subject categorization schemes, which makes international book trading more difficult due to the need to categorize books from scratch once they reach another country. READ MORE

  4. 4. Predictability of return and volatility in Bitcoin markets

    University essay from Göteborgs universitet/Graduate School

    Author : Martin Eimer; Lina Karlsson; [2018-07-03]
    Keywords : Bitcoin; Price Manipulation; Abnormal Liquidity; Spoofing; Limit Order Book; High Frequency Trading;

    Abstract : MSc in Finance.... READ MORE

  5. 5. Simulating market maker behaviour using Deep Reinforcement Learning to understand market microstructure

    University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Author : Elwin Marcus; [2018]
    Keywords : Deep Reinforcement Learning; Machine Learning; Market Microstructure; Market Maker; Financial Agent; Agent Based Modelling; Financial Artificial Markets; Complex Systems; Algorithmic Trading; Tensorforce; keras-RL; PPO; DQN; Dealer Market; Limit Order book;

    Abstract : Market microstructure studies the process of exchanging assets underexplicit trading rules. With algorithmic trading and high-frequencytrading, modern financial markets have seen profound changes in marketmicrostructure in the last 5 to 10 years. READ MORE