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.

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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
Published in:	Estudios de Economía. - ISSN 0718-5286. - Vol. 50.2023, 2, p. 233-261
Publisher:	Santiago de Chile : Universidad de Chile, Departamento de Economía
Subject:	Expected Shortfall \| market risk \| Basel III standard \| stock returns \| S&P index

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Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	1878193872 [GVK] 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:	EconStor

Persistent link: https://www.econbiz.de/10014485992