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

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

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). It proposes to use Expected Shortfall (ES) as risk measure instead of...

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Bibliographic Details
Main Author: Dalne, Katja
Format: Others
Language:English
Published: KTH, Matematisk statistik 2017
Subjects:
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.
Computational Mathematics
Beräkningsmatematik
Online Access:http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-206168

Internet

http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-206168

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