Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/285107 
Title (translated): 
El modelo de déficit esperado basado en el oscilador armónico cuántic
Year of Publication: 
2023
Citation: 
[Journal:] Estudios de Economía [ISSN:] 0718-5286 [Volume:] 50 [Issue:] 2 [Year:] 2023 [Pages:] 233-261
Publisher: 
Universidad de Chile, Departamento de Economía, Santiago de Chile
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.
Subjects: 
Expected Shortfall
market risk
Basel III standard
stock returns
S&P index
JEL: 
G24
C22
C52
C53
Creative Commons License: 
cc-by-nc-sa Logo
Document Type: 
Article

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