Lambda value at risk and regulatory capital: A dynamic approach to tail risk

Artikel

This paper presents the first methodological proposal of estimation of the VaR. Our approach is dynamic and calibrated to market extreme scenarios, incorporating the need of regulators and financial institutions in more sensitive risk measures. We also propose a simple backtesting methodology by extending the VaR hypothesis-testing framework. Hence, we test our VaR proposals under extreme downward scenarios of the financial crisis and different assumptions on the profit and loss distribution. The findings show that our VaRestimations are able to capture the tail risk and react to market fluctuations significantly faster than the VaR and expected shortfall. The backtesting exercise displays a higher level of accuracy for our VaR estimations.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: Risks ; ISSN: 2227-9091 ; Volume: 6 ; Year: 2018 ; Issue: 1 ; Pages: 1-18 ; Basel: MDPI

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Forecasting Models; Simulation Methods ; Financial Crises ; Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
• Thema: banking regulation ; financial risk management ; risk modelling ; value at risk

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Hitaj, Asmerilda ; Mateus, Cesario ; Peri, Ilaria
• Ereignis: Veröffentlichung
• (wer): MDPI
• (wo): Basel
• (wann): 2018

Weitere Informationen

• DOI: doi:10.3390/risks6010017
• Handle: http://hdl.handle.net/10419/195809
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ