Version numérique PDFThis paper investigates empirical risk measures that were available during the 2008 financial crisis. We compare traditional market risk computations and some new computations based on Extreme Value Theory. We show that standard computations led to deeply underestimated real risks. We also show that the conditional Generalized Pareto Distribution model is more accurate and reliable for predicting asset risk losses and would have protected bank trading portfolios. The Basel II agreement reveals a perverse effect, namely that banks have an interest in hedging between models. The capital penalties applied for abuse appear to be insufficient to push banks into choosing the most reliable model.Keywords: Market risk; Value at Risk; Extreme Value Theory; GARCH model; Financial Crisis; Basel Requirements.JEL classification: C22; G10; G21.
Auteurs :Kourouma Lanciné
Extrait de la revue BMI 126
An Empirical Analysis of the Benefits of Inflation- Linked Bonds
A Review of Corporate Bond Indices
Managing Sovereign Credit Risk Exposure in a Global Equity Portfolio
Assessing Volatility Indicators: The Benefi t of Local Equity Volatility Indices
Liquidity in European Equity ETFs: What Really Matters?
Beneath the Sovereign Debt Iceberg
Do Institutional Investors Improve Stock Liquidity?
Changes in the Number of Reported Business Segments and Earnings Management
Ownership, Technical Effi ciency and Cost of Bad Loans: Evidence from the Tunisian Banking Industry
Strategic Management of Private Benefi ts in a Contingent Claim Framework
Bank capital and Risk-Taking: Old and New Perspectives from the Crisis