The quantum harmonic oscillator expected shortfall model

Authors

Keywords:

Expected Shortfall, market risk, Basel III standard, stock returns, S&P index

Abstract

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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Published

2023-12-18 — Updated on 2024-09-24

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How to Cite

Markovic, V. M., Radivojevic, N., Ivanovic, T., Radisic, S., & Novakovic, N. (2024). The quantum harmonic oscillator expected shortfall model. Estudios De Economía, 50(2), pp. 233–261. Retrieved from https://estudiosdeeconomia.uchile.cl/index.php/EDE/article/view/73205 (Original work published December 18, 2023)

Issue

Vol. 50 No. 2 (2023): December

Section

Articles