Essays about: "Trading Book"

Showing result 16 - 20 of 41 essays containing the words Trading Book.

  1. 16. The Next Tick on Nasdaq Stockholm: Predicting Price Direction in Limit Order Books Using Order Imbalance

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Jamil Al-Najjar; Julian Kramer; [2018]
    Keywords : high frequency trading; limit order books; order imbalance; price prediction;

    Abstract : We explore complete Level II limit order books for eight stocks listed on Nasdaq Stockholm during 2016 and investigate the use of the imbalance between bid and ask volumes in predicting the direction of price change in an ultra-high-frequency environment. Specifically, we test whether a top-of-the-book (Level I) measure of order imbalance and a deeper-in-the-book (Level II) measure can predict the direction of a change in the mid-price of a security for up to three events before the change occurs. READ MORE

  3. 17. Investors Trust and the Gender of Senior Executives: An empirical study of investors trust and whether it is dependent on the gender of the senior executives of a company

    University essay from Göteborgs universitet/Graduate School

    Author : Sofie Hansson; Matilda Åvall; [2017-08-09]
    Keywords : Investor trust; Investor perceived risk; Gender of senior executives; Bid-ask spread;

    Abstract : This study examines whether investors’ trust in senior executives is dependent on the gender of these, by investigating the relationship between the gender of the CEO/CFO and investors perceived risk of investing in the company. To make the result more robust, we control for factors that are generally known to influence the size of the bid-ask spread, such as size, trading volume, sector and market-to-book ratio, as well as for personal characteristics. READ MORE

  4. 18. The Performance of Market Risk Models for Value at Risk and Expected Shortfall Backtesting : In the Light of the Fundamental Review of the Trading Book

    University essay from KTH/Matematisk statistik

    Author : Katja Dalne; [2017]
    Keywords : Risk Management; Financial Time Series; Value at Risk; Expected Shortfall; Monte Carlo Simulation; GARCH modeling; Copulas; Hybrid Distribution; Generalized Pareto Distribution; Extreme Value Theory; Backtesting; Liquidity Horizon; Basel regulation.;

    Abstract : The global financial crisis that took off in 2007 gave rise to several adjustments of the risk regulation for banks. An extensive adjustment, that is to be implemented in 2019, is the Fundamental Review of the Trading Book (FRTB). READ MORE

  5. 19. Non-parametricbacktesting of expected shortfall

    University essay from KTH/Matematisk statistik

    Author : Patrik Edberg; Benjamin Käck; [2017]
    Keywords : Backtesting Expected Shortfall; Non-parametric; Backtesting under Basel III; Backtesting under Fundamental review of the trading book.;

    Abstract : Since the Basel Committee on Banking Supervision first suggested a transition to Expected Shortfall as the primary risk measure for financial institutions, the question on how to backtest it has been widely discussed. Still, there is a lack of studies that compare the different proposed backtesting methods. READ MORE

  6. 20. Fundamental review of the trading book - The new approach to measure market risk

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Jonas Drakenberg; Samuel Hegnell; [2017]
    Keywords : Expected Shortfall; Value-at-Risk; Fundamental Review of the Trading Book; Bank for International Settlements; Basel Committee on Banking Supervision; Market risk; Parametric approach; Non-parametric approach; Business and Economics;

    Abstract : The Fundamental Review of the Trading Book sets the standard for the most recent regulatory framework for minimum capital requirement within market risk. It will be implemented gradually up until 2019 and will overhaul a major part of the current regulation. READ MORE