
<ns0:uwmetadata xmlns:ns0="http://phaidra.univie.ac.at/XML/metadata/V1.0" xmlns:ns1="http://phaidra.univie.ac.at/XML/metadata/lom/V1.0" xmlns:ns10="http://phaidra.univie.ac.at/XML/metadata/provenience/V1.0" xmlns:ns11="http://phaidra.univie.ac.at/XML/metadata/provenience/V1.0/entity" xmlns:ns12="http://phaidra.univie.ac.at/XML/metadata/digitalbook/V1.0" xmlns:ns13="http://phaidra.univie.ac.at/XML/metadata/etheses/V1.0" xmlns:ns2="http://phaidra.univie.ac.at/XML/metadata/extended/V1.0" xmlns:ns3="http://phaidra.univie.ac.at/XML/metadata/lom/V1.0/entity" xmlns:ns4="http://phaidra.univie.ac.at/XML/metadata/lom/V1.0/requirement" xmlns:ns5="http://phaidra.univie.ac.at/XML/metadata/lom/V1.0/educational" xmlns:ns6="http://phaidra.univie.ac.at/XML/metadata/lom/V1.0/annotation" xmlns:ns7="http://phaidra.univie.ac.at/XML/metadata/lom/V1.0/classification" xmlns:ns8="http://phaidra.univie.ac.at/XML/metadata/lom/V1.0/organization" xmlns:ns9="http://phaidra.univie.ac.at/XML/metadata/histkult/V1.0">
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    <ns1:identifier>o:5526</ns1:identifier>
    <ns1:title language="en">The quantum harmonic oscillator expected shortfall model</ns1:title>
    <ns1:language>en</ns1:language>
    <ns1:description language="en">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.</ns1:description>
    <ns1:keyword language="en">Key words: Expected Shortfall; market risk; Basel III standard; stock returns; S&amp;P index.</ns1:keyword>
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      <ns2:resource>1552099</ns2:resource>
      <ns2:identifier>10.4067/S0718-52862023000200233</ns2:identifier>
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    <ns1:upload_date>2024-10-01T10:22:18.195Z</ns1:upload_date>
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    <ns2:peer_reviewed>yes</ns2:peer_reviewed>
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        <ns3:firstname>Vladimir</ns3:firstname>
        <ns3:lastname>Marković</ns3:lastname>
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        <ns3:firstname>Nikola</ns3:firstname>
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        <ns3:firstname>Tatjana</ns3:firstname>
        <ns3:lastname>Ivanović</ns3:lastname>
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        <ns3:firstname>Slobodan</ns3:firstname>
        <ns3:lastname>Radišić</ns3:lastname>
        <ns3:type>person</ns3:type>
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      <ns1:entity seq="4">
        <ns3:firstname>Nenad</ns3:firstname>
        <ns3:lastname>Novaković</ns3:lastname>
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      </ns1:entity>
      <ns1:date>2023</ns1:date>
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    <ns8:approbation_period>2023-04</ns8:approbation_period>
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  <ns12:digitalbook>
    <ns12:name_magazine language="en">Estudios de economía</ns12:name_magazine>
    <ns12:volume>50</ns12:volume>
    <ns12:booklet>2</ns12:booklet>
    <ns12:from_page>233</ns12:from_page>
    <ns12:to_page>261</ns12:to_page>
    <ns12:releaseyear>2023</ns12:releaseyear>
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