Essays about: "Trading Book"

Showing result 6 - 10 of 41 essays containing the words Trading Book.

1. 6. Into the Trading Book: Estimating Expected Shortfall

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Robin Eric Schmutz; Leonard Schneider; [2023]
   Keywords : Expected shortfall; Trading book; Historical simulation; Parametric estimation; Backtesting; Business and Economics;

   Abstract : In light of the revised 2019 proposals constituting the Fundamental Review of the Trading Book, which amend the third Basel Accord, expected shortfall is set to replace value at risk as the risk measure dictating banks' capital reserving requirements for exposure to market risk. This paper examines how best to accurately estimate expected shortfall from a regulatory perspective by carrying out an array of non-parametric as well as parametric methods over the recent years of financial instability. READ MORE

3. 7. A comparison of the Basel III capital requirement models for financial institutions

   University essay from Lunds universitet/Matematisk statistik

   Author : Sara Johannesson; Amanda Wahlberg; [2022]
   Keywords : Basel III; Internal Model Method IMM ; Standardized Approch for Counterparty Credit Risk SA-CCR ; Counterparty Credit Risk; Capital Requirement; Mathematics and Statistics;

   Abstract : The purpose of this report is to implement and compare the two Basel III standard methods on how to calculate the capital requirement for finan- cial institutions, related to counterparty credit risk. The models being the Standardized Approach for Counterparty Credit Risk (SA-CCR) and the Internal Model Method (IMM). READ MORE

4. 8. Reinforcement Learning for Market Making

   University essay from KTH/Matematisk statistik

   Author : Simon Carlsson; August Regnell; [2022]
   Keywords : Reinforcement learning; Market making; Deep reinforcement learning; Limit order book; Algorithmic trading; High-frequency trading; Machine learning; Artificial intelligence; Q-learning; DDQN; Förstärkningsinlärning; Market making; Djup förstärkningsinlärning; Limitorderbok; Algoritmisk handel; Högfrekvenshandel; Maskininlärning; Artificiell intelligens; Q-learning; DDQN;

   Abstract : Market making – the process of simultaneously and continuously providing buy and sell prices in a financial asset – is rather complicated to optimize. Applying reinforcement learning (RL) to infer optimal market making strategies is a relatively uncharted and novel research area. READ MORE

5. 9. Dressed for success when entering the Swedish market : Changes and composition of the board of directors in IPO companies and the effect on firm valuation

   University essay from Uppsala universitet/Företagsekonomiska institutionen

   Author : Erik Staaf; Joel Gotthardsson; [2022]
   Keywords : IPO; Valuation; Corporate Governance; Board of Directors; Agency Theory;

   Abstract : The initial public offering (IPO) of a company is characterized by uncertainty, and a large body of research has focused primarily on underpricing. This study takes a different approach by examining the changes and composition of the board of directors in IPO companies and the effect on market valuation measured by the market-to-book ratio. READ MORE

6. 10. Ensemble Models for Trend Investing

   University essay from KTH/Matematik (Avd.)

   Author : Emil Book; Emil Gnem; [2021]
   Keywords : Momentum; Machine Learning; Random Forest; Trend Investing; Dim Switch; Momentum; Maskininlärning; Random Forest; Trendinvestering; Dim Switch;

   Abstract : Portfolio strategies focusing on following the trend, so called momentum based strategies, have been popular for a long time among investors and have had many academic studies, however with varying results. This study sets out to investigate different momentum trading signals as well as combining them in ensemble models such as Random Forest and the unique Dim Switch portfolio and then compare them to set benchmarks. READ MORE