Naslov (eng)

The quantum harmonic oscillator expected shortfall model

Autor

Marković, Vladimir
Radivojević, Nikola
Ivanović, Tatjana
Radišić, Slobodan
Novaković, Nenad

Opis (eng)

Abstract: This paper presents a new Expected Shortfall (ES) model based on the Quantum Harmonic Oscillator (QHO). It is used to estimate market risk in banks and other financial institutions according to Basel III standard. Predictions of the model agree with the empirical data which displays deviations from normality. Using backtesting, it is shown that the model can be reliably used to assess market risk.

Jezik

engleski

Datum

2023

Licenca

Ovo delo je licencirano pod uslovima licence
Creative Commons CC BY 4.0 - Creative Commons Autorstvo 4.0 International License.

http://creativecommons.org/licenses/by/4.0/legalcode

Predmet

Key words: Expected Shortfall; market risk; Basel III standard; stock returns; S&P index.

Deo kolekcije (1)

o:1600

Radovi profesora i saradnika Fakulteta za ekonomiju i inženjerski menadžment