Artikel
The quantum harmonic oscillator expected shortfall model
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.
- Weitere Titel
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El modelo de déficit esperado basado en el oscilador armónico cuántic
- Sprache
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Englisch
- Erschienen in
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Journal: Estudios de Economía ; ISSN: 0718-5286 ; Volume: 50 ; Year: 2023 ; Issue: 2 ; Pages: 233-261
- Klassifikation
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Wirtschaft
Investment Banking; Venture Capital; Brokerage; Ratings and Ratings Agencies
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Model Evaluation, Validation, and Selection
Forecasting Models; Simulation Methods
- Thema
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Expected Shortfall
market risk
Basel III standard
stock returns
S&P index
- Ereignis
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Geistige Schöpfung
- (wer)
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Markovic, Vladimir M.
Radivojevic, Nikola
Ivanovic, Tatjana
Radisic, Slobodan
Novakovic, Nenad
- Ereignis
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Veröffentlichung
- (wer)
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Universidad de Chile, Departamento de Economía
- (wo)
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Santiago de Chile
- (wann)
-
2023
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:42 MEZ
Datenpartner
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Objekttyp
- Artikel
Beteiligte
- Markovic, Vladimir M.
- Radivojevic, Nikola
- Ivanovic, Tatjana
- Radisic, Slobodan
- Novakovic, Nenad
- Universidad de Chile, Departamento de Economía
Entstanden
- 2023