The quantum harmonic oscillator expected shortfall model
Autores
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Vladimir M. Markovic
Faculty of Science, University of Kragujevac
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Nikola Radivojevic
Academy at applied studies Sumadia in Kragujevac
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Tatjana Ivanovic
Faculty of Agriculture, University of Pristina
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Slobodan Radisic
Faculty of Technical Sciences, University of Novi Sad
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Nenad Novakovic
Faculty of Technical Sciences, University of Novi Sad
Resumo
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.
Palavras-chave:
Expected Shortfall, market risk, Basel III standard, stock returns, S&P index
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