Expected shortfall

Part 1 book "Risk management and financial institutions" includes content: banks; insurance companies and pension plans; mutual funds and hedge funds; trading in financial markets; the credit crisis of 2007; valuation and scenario analysis - the risk neutral and real worlds; how traders manage their risks; interest rate risk; volatility; correlations and copulas; value at risk and expected shortfall; historical simulation and extreme value theory; model building approach.

408p oursky03 21-08-2023 9 5   Download

Due to its known weaknesses Value at Risk (VaR) has been modified to have a better market risk measurement model. 2007-2008 global financial crisis has increased the necessity to incorporate market liquidity into widely used models. This is to raise the required regulatory capital for trading portfolios since large marked-to-market losses have been observed to hit the global financial system. In line with the new coming regulations, this study applies a Monte-Carlo based approach on Turkish Banks’ hypothetical trading portfolios to measure their total market risk.

11p nguyenminhlong19 21-04-2020 6 0   Download

Value at Risk (VaR) is the most popular market risk measure as it summarizes in one figure the exposure to different risk factors. It had been around for over a decade when Expected Shortfall (ES) emerged to correct its shortcomings. Both risk measures can be estimated under several models. We explore the application of a parametric model to fit the joint distribution of risk factor returns based on multivariate finite Gaussian Mixtures, derive a closed-form expression for ES under this model and estimate risk measures for a multi-asset portfolio over an extended period.

17p cothumenhmong4 24-03-2020 24 2   Download

This paper aims to provide a new risk measure for portfolio management in Vietnam by incorporating investor’s risk aversion into current risk measures such as value at risk (VaR) and expected shortfall (ES). This measure shares several desirable characteristics with the coherent risk measures, as illustrated in Artzner et al. (1997).

17p danhnguyentuongvi27 18-12-2018 25 0   Download

Annual fuel cell shipments in the portable sector grew a modest 1.5% between 2010 and 2011, primarily due to a minor decline in sales in the auxiliary power unit (APU) sector, partially a result of restricted consumer spending in Europe. This shortfall was met with an increase in shipments of smaller fuel cell systems helped by initial production runs of portable electronics chargers. Early 2012 has seen a return to growth for the APU sector that we expect to continue throughout the year, bolstered by renewed interest from the military.

39p thamgiacongdong 02-05-2013 38 3   Download

The slowdown is set to affect employment with the usual lags. Employment in the EU is projected to contract by another ¼% in 2013 after a fall of ½% this year, also because firms now have less scope to react to the demand shortfall by reducing working hours than during the 2008-09 recession. With the projected turnaround of GDP growth in 2013, employment should stabilise towards the end of next year. However, the moderate growth projected for 2014 will generate only modest employment gains, which are expected to remain below the employment losses incurred in...

166p trinhcaidat 19-04-2013 41 3   Download

HIGHLI GHTS (CONTINUED) Long Term Financial Position • In recent years, the Territory’s long term financial assets have been less than its liabilities and this shortfall increased by $169m in 2003-04 due to a substantial rise in the Territory’s Unfunded superannuation liabilities. The Territory’s long term financial position is expected to rapidly decline over the next few years with the expected shortfall rising by $658m (70.6%). In 2003-04 there was $0.60 in financial assets available to cover each dollar of liabilities...

12p meobu4 12-01-2012 51 3   Download