Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 35 for “"Expected Shortfall"”.
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Portfolio Liquidity Risk Management with Expected Shortfall Constraints
… LVA given the cash, minimum weight and portfolio expected shortfall (ES) liquidity policies on a long equity portfolio. Several numerical examples in the results demonstrate the importance associated the incorporation of the liquidity policy in the liquidity risk valuation. In the second study, we …
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Estimation of value-at-risk and expected shortfall using copulas
Includes bibliographical references (leaves 76-77).
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Estimating value at risk and expected shortfall: a kalman filter approach
… on Banking Supervision (BCBS) replaced VaR with Expected Shortfall (ES), or Conditional VaR (CVaR), as the new primary measure for banking institutions to forecast market risk and hence allocate the relevant amount of regulatory market risk capital. ES measures the probability weighted losses …
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Expectil como medida de riesgo alterna al VaR y al Expected Shortfall (Una aplicación sobre factores de riesgo)
… frente a las medidas de riesgo Value at risk y Expected Shortfall. Se modela el EVaR bajo dos enfoques: Modelos Paramétricos y Semiparamétricos, utilizando la medida de riesgo basada en cuantiles como modelo de referencia en la estimación de la exposición de riesgo de las diferentes series de …
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The impact of estimation frequency on Value at Risk (VaR) and Expected Shortfall (ES) forecasts: an empirical study on conditional extreme value models
… is used to calculated the Value at Risk and Expected Shortfall. The first phase involved running the daily returns through the GARCH model, and then extracting the residuals. The second phase involves using the Block Maxima Method, or Peaks over Threshold method to fit the residuals to the …
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Quantile-based methods for prediction, risk measurement and inference
… second problem studied is that of estimation of expected shortfall via kernel smoothing. The goal here is to introduce methods that will reduce the estimation bias of expected shortfall. To this end, several one-step bias correction expected shortfall estimators are presented and investigated via …
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Multi-period market risk estimation and performance evaluation : evidence from univariate, multi-variate and options data
… coherent measure of financial risk referred to as expected shortfall (hereinafter ES) was proposed by Artzner et al. (1999) to overcome problems associated with VaR. In the first part of the thesis we evaluate expected shortfall (ES) with a new 6-parameter heavy tailed distribution by Baker (2014) …
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Applications of quantile regression to estimation and detection of some tail characteristics
… first part of the dissertation, we develop the Expected Shortfall (ES), the Covariate-adjusted Expected Shortfall (COVES), and the Generalized Covariate-adjusted Expected Shortfall (q.COVES) tests under the framework of quantile regression. Those tests focus specifically on one tail of the …
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Kockázati mértékek és kapcsolódó kockázatkezelési kérdések
… kockázati mérőszám a Value at Risk (VaR), és az Expected Shortfall. A dolgozatban sor kerül a két mutató LDA (Loss Distribution Approach) alapú becslésre. Ezen becslések, modellezések eredményeinek kiértékelése, elemzése is megtörténik a dolgozatban, melyek tanulságosak lehetnek a becslési …
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Investigation on the efficient frontier based on CVaR under copula dependence structure with applications to South African JSE stocks
… Conditional Value at Risk (CVaR) also known as Expected Shortfall (ES), to optimise a portfolio of South African stocks. Value at Risk (VaR) is not a sub-additive risk measure and therefore does not possess one of the four properties that all coherent risk measures must satisfy. Using copula to …
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Essays on asymptotic methods in econometrics
… and show that they subsume Value-at-Risk and expected shortfall. An empirical application to portfolio risk management shows that a multiplier of 1.3 to 1.9 can control the true risk probability of expected shortfall at 10%.
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Risk management and solvency: mathematical methods in theory and practice
… looking at the risk measures Value at Risk and Expected Shortfall it becomes apparent how strong the influence of the underlying dependence structure is, even in the case of uncorrelated risks. On the basis of these considerations, established dependence structures as copulas, linear …
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Risco de Crédito: uma aplicação no mercado de capitais para debêntures
… Value at Risk (VaR), Capital Econômico (EC) e Expected Shortfall (ES) – para auxiliar o investidor na mitigação das perdas que o portfólio pode apresentar. Verificaram-se diferenças entre as métricas obtidas pelo CreditRisk+ e pela Simulação de Monte Carlo, entretanto ambas as técnicas são …
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The impact of the FRTB on Market Risk Capital for the South African InterBank Interest Rate Market
… operations. The FRTB replaces VaR with the Expected Shortfall (ES) risk measure in the IMA and introduces a new SA. This dissertation investigates the impact the FRTB will have on market risk capital charges for portfolios of linear South African interbank interest rate products. Capital …
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Risk Analysis of Adopting Conservation Practices on a Representative Peanut-Cotton Farm in Virginia
… GAMS. The objective of the farmer is to maximize expected net return, while meeting a target income with certain allowable expected shortfall from the income target. The farmer is also constrained by land, labor, peanut quota, and levels of pesticide, nitrogen, phosphorus, and soil losses. Major …
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Problem-driven scenario generation for stochastic programs
… class of stochastic programs for minimizing the expected shortfall and surplus of some resources with respect to uncertain demands.
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Deep Hedging of basis risk
… strategies under coherent risk metrics, like expected shortfall, using the Deep Hedging approach and given a price. By fixing the volatility and correlation parameters, Deep Hedging produces results that are comparable to the best existing strategies, in both complete and incomplete market …
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Essays on measuring systemic risk
… Delta Conditional Value at Risk, (ii) Marginal Expected Shortfall and (iii) Systemic RISK. The results indicate that the euro area banking institutions impose the highest risk in financial system (contribution to systemic risk). In addition, they are the most vulnerable banking institution in …
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Hawkes processes and some financial applications
… of conditional value-at-risk (VaR) and expected shortfall (ES). The models investigated include mostly models found in the literature, but also include some variations introduced here. In a backtesting exercise, we compare the conditional VaR and ES forecasts found by using the marked …
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Banking regulation: a Bayesian network approach to risk management
… risk metrics such as value at risk (VaR) and expected shortfall (ES). This study consists of three sections. First, this study comprehensively examines the performance of various market risk models when producing VaR and ES, and their stressed counterparts, using Standard and Poor's (S&P) 500 …
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