دورية أكاديمية
Lambda value at risk and regulatory capital: A dynamic approach to tail risk
| العنوان: | Lambda value at risk and regulatory capital: A dynamic approach to tail risk |
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| المؤلفون: | Hitaj A., Mateus C., Peri I. |
| المساهمون: | Hitaj, A., Mateus, C., Peri, I. |
| سنة النشر: | 2018 |
| المجموعة: | IRInSubria - Institutional Repository Insubria (Università degli Studi dell’Insubria) |
| مصطلحات موضوعية: | Banking regulation, Financial risk management, Risk modelling, Value at risk |
| الوصف: | This paper presents the first methodological proposal of estimation of the ΛVaR. 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 ΛVaR proposals under extreme downward scenarios of the financial crisis and different assumptions on the profit and loss distribution. The findings show that our ΛVaR estimations 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 ΛVaR estimations. |
| نوع الوثيقة: | article in journal/newspaper |
| اللغة: | English |
| العلاقة: | info:eu-repo/semantics/altIdentifier/wos/WOS:000428564700016; volume:6; issue:1; firstpage:17; lastpage:34; numberofpages:18; journal:RISKS; http://hdl.handle.net/11383/2097274Test; info:eu-repo/semantics/altIdentifier/scopus/2-s2.0-85056790059 |
| DOI: | 10.3390/risks6010017 |
| الإتاحة: | https://doi.org/10.3390/risks6010017Test http://hdl.handle.net/11383/2097274Test |
| رقم الانضمام: | edsbas.D6C45AB0 |
| قاعدة البيانات: | BASE |
| DOI: | 10.3390/risks6010017 |
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