Modelo evolutivo del impacto de técnicas VaR en los mercados financieros

Artikel

In recent years, some authors have warned of the increasingly widespread use of risk management techniques by financial institutions, arguing that this can cause the market to become more unstable. To analyse these claims, we present a model based on evolutionary game theory of a financial market, where part of the investors use the VaR technique to manage their risk. We study the evolution of this market through simulation, and we confirm that the use of risk management models can induce instability regimes in the market, characterised by sudden changes in the asset price and sharp increases in the volatility.

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• Alternative title: Evolutionary model of the impact of VaR techniques on financial markets
• Language: Spanisch

References and Relationships

• Bibliographic citation: Journal: Revista de Métodos Cuantitativos para la Economía y la Empresa ; ISSN: 1886-516X ; Volume: 36 ; Year: 2023 ; Pages: 1-25

Classification and Topics

• Classification: Wirtschaft ; Computational Techniques; Simulation Modeling ; Stochastic and Dynamic Games; Evolutionary Games; Repeated Games ; Financial Crises ; General Financial Markets: General (includes Measurement and Data)
• Subject: Risk management ; VaR ; Evolutionary game theory ; Financial markets

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Llacay, Bàrbara ; Peffer, Gilbert
• Event: Veröffentlichung
• (who): Universidad Pablo de Olavide
• (where): Sevilla
• (when): 2023

Further information

• DOI: doi:10.46661/rev.metodoscuant.econ.empresa.6839
• Handle: http://hdl.handle.net/10419/286318