- Rupture de stock
Société Editions ESKA
Is there a ?good? Measure of Market Risk during a Financial Crisis? [extrait BMI 126]
- Donnez votre avis
50,00 €
TTC
Version numérique PDF
This 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
BMI126-1114939
Nouveau
16 autres produits dans la même catégorie :
Availability: Out of stock
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
Availability: 100 In Stock
Sommaire
Articles
- New Challenges of ESG Issues
- Why are Mutual Fund Alphas Systematically Negative?
- Name Changes and Equity Mutual Fund Returns
- Does Corporate Governance Affect Stock Liquidity in the Tunisian Stock Market?
Focus On
- Prepacks
Availability: Out of stock
Sommaire
Articles
- Holder-Extendible Options with Modifiable Underlying-Assets
- Transparency and Market Quality
- CSR and Market Valuation
- Explaining the Stock Market’s Reaction to Macroeconomic Announcements
Focus On
- Rating Agencies and Financial Regulation : Thirty Years of Academic Research
