The quantum harmonic oscillator expected shortfall model

Vladimir M. Markovic, Nikola Radivojevic, Tatjana Ivanovic, Slobodan Radisic, Nenad Novakovic

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.

MoreLess

Alternative title:	El modelo de déficit esperado basado en el oscilador armónico cuántic
Year of publication:	2023
Authors:	Markovic, Vladimir M. ; Radivojevic, Nikola ; Ivanovic, Tatjana ; Radisic, Slobodan ; Novakovic, Nenad
Subject:	Expected Shortfall \| market risk \| Basel III standard \| stock returns \| S&P index \| Risikomaß \| Risk measure \| Basler Akkord \| Basel Accord \| Kapitaleinkommen \| Capital income \| Theorie \| Theory \| Aktienindex \| Stock index \| Portfolio-Management \| Portfolio selection \| Marktrisiko \| Market risk \| Risikomanagement \| Risk management \| Bankrisiko \| Bank risk

Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	hdl:10419/285107 [Handle]
Classification:	G24 - Investment Banking; Venture Capital; Brokerage ; C22 - Time-Series Models ; C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014450737