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...
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Published in | Estudios de Economía Vol. 50; no. 2; pp. 233 - 261 |
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Main Authors | , , , , |
Format | Journal Article |
Language | English |
Published |
Santiago de Chile
Universidad de Chile, Departamento de Economía
01.12.2023
Estudios de Economia Universidad de Chile. Departamento de Economía |
Subjects | |
Online Access | Get full text |
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Summary: | 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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ISSN: | 0718-5286 0304-2758 0718-5286 |
DOI: | 10.4067/S0718-52862023000200233 |