Essays about: "backtest"
Showing result 1 - 5 of 25 essays containing the word backtest.
-
1. Empirical Analysis of Joint Quantile and Expected Shortfall Regression Backtests
University essay from Uppsala universitet/Sannolikhetsteori och kombinatorikAbstract : In this work, we look into the practical applicability of three joint quantile and expected shortfall regression backtests. The strict, auxiliary, and intercept ESR backtests are applied to the historical log returns of the OMX Stockholm 30 market-weight price index. READ MORE
-
2. Backtesting Expected Shortfall : A qualitative study for central counterparty clearing
University essay from Umeå universitet/Institutionen för matematik och matematisk statistikAbstract : Within Central Counterparty Clearing, the Clearing House collects Initial Margin from its Clearing Members. The Initial Margin can be calculated in many ways, one of which is by applying the commonly used risk measure Value-at-Risk. However, Value-at-Risk has one major flaw, namely its inability to encapsulate Tail Risk. READ MORE
-
3. A comparison of the Basel III capital requirement models for financial institutions
University essay from Lunds universitet/Matematisk statistikAbstract : 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. Risk Measurement and Performance Attribution for IRS Portfolios Using a Generalized Optimization Method for Term Structure Estimation
University essay from Linköpings universitet/ProduktionsekonomiAbstract : With the substantial size of the interest rate markets, the importance of accurate pricing, risk measurement and performance attribution can not be understated. However, the models used on the markets often have underlying issues with capturing the market's fundamental behavior. READ MORE
-
5. Backtesting Expected Shortfall A comparative empirical evaluation of different backtests
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : This paper empirically evaluates whether different backtests for Expected Shortfall (ES) produce similar results. In 2016, the Basel Committee on Banking Supervision proposed a shift from Value-at-Risk (VaR) to ES as the industry standard when calculating capital requirements for banks. However, ES has been found difficult to backtest. READ MORE