Marković, Vladimir Radivojević, Nikola Ivanović, Tatjana Radišić, Slobodan Novaković, Nenad application/pdf 1395057 bytes https://unilib.phaidrabg.rs/o:5526 doi:10.4067/S0718-52862023000200233 Key words: Expected Shortfall; market risk; Basel III standard; stock returns; S&P index. eng The quantum harmonic oscillator expected shortfall model 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. Estudios de economía vol. 50 br. 2 str. 233-261 http://creativecommons.org/licenses/by/4.0/legalcode info:eu-repo/semantics/article 2023