The quantum harmonic oscillator expected shortfall model

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

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The quantum harmonic oscillator expected shortfall model

Authors

Vladimir M. Markovic Faculty of Science, University of Kragujevac
Nikola Radivojevic Academy at applied studies Sumadia in Kragujevac
Tatjana Ivanovic Faculty of Agriculture, University of Pristina
Slobodan Radisic Faculty of Technical Sciences, University of Novi Sad
Nenad Novakovic Faculty of Technical Sciences, University of Novi Sad

Vol. 50 No. 2 (2023): December

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.

Keywords:

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

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How to Cite

Markovic, V. M., Radivojevic, N., Ivanovic, T., Radisic, S., & Novakovic, N. (2023). The quantum harmonic oscillator expected shortfall model. Estudios De Economía, 50(2). Retrieved from https://revistaterapiaocupacional.uchile.cl/index.php/EDE/article/view/73205