Bakgrund: De flesta svenskarna sparar i form av värdepapper för att investera sina pengar och få en avkastning. Vilket placeringsalternativ ska de välja mellan investering i traditionella eller speciella fonder? De traditionella fonderna har en relativ avkastning och en stor risk, medan de speciella eller hedgefonderna har en lägre risk och en absolut positiv avkastning oavsett marknadsläge.I denna studie kommer att undersökas om hedgefonders avkastningsmönster är trovärdig, och om deras målsättning har uppnåtts under åtta års period. Syfte: Syftet med denna studie är att undersöka om det finns ett samband mellan olika svenska hedgefonders investeringsstrategier och avkastningsmönster samt undersöka hur dessa hedgefonder skiljer sig från de traditionella fonderna och marknadsindexet. Delsyftet är att studera två olika perioder och urskilja hur fonderna presterar under hög respektive låg konjunktur läge. Metod: Studien är baserad på forskningsstrategin kvantitativa metoden. Sekundär data i form av historiska avkastningssiffror för åttaårsperiod är avhämtad. Olika nyckeltal är valda för uträckningen och analysen. Korrelation, regression och hypotesprövning är de utvalda statistiska metoder som ska leda författaren att analysera och dra slutsats. Slutsats: De hedgefonderna har under de olika perioderna genererat en genomsnittlig positiv avkastning trots de låga värden. De har lägre totalrisk samt marknadsrisk än de traditionella, och en låg korrelation mellan varandra. Vidare har studien visat att räntearbitrage och marknadsneutrala strategier har presterat bäst under låg konjunktur.Sammanfattningsvis hedgefonders avkastningsmönster skiljer sig mellan de olika strategierna och inom varje strategi. Trots på den låga positiva avkastningen anses hedgefonder ett bättre placeringsalternativ än traditionella fonder i tider där marknaden går ner.Avkastningsmönster är en fördom på kortsikt men anses vara en verklighet långsiktigt. / Background: The majority of the Swedish population saves in the form of securities to invest and receive a return. Which investment option should they choose? Should they invest in mutual or special funds? The mutual funds have a relative return and come with a high risk, while the special funds, also known as hedge funds, have an absolute positive return regardless of the market situation and this fund type accounts for a lower risk. This study will investigate whether the return pattern in the hedge funds are valid or not, and if their objective was achieved during this 8 year period. Purpose: The purpose of this study is to investigate if there is a relationship between Swedish hedge funds' investment strategies and their return pattern as well as examining how these hedge funds differ from the mutual funds and the market index. The sub focus is studying two different periods and discerns how the funds perform under high and low economic situation. Methodology: The study is based on results obtained from the research strategy, of a quantitative character. Secondary data in the form of historical returns for the eight-year period is utilized. Different ratios are utilized for calculations and analysis. Correlation, regression, and hypothesis testing are the chosen statistical methods that will lead the author to analyze and draw conclusions. Conclusions: The hedge funds have in the different periods generated an average positive return despite the low values. They have lower total risk and market risk than mutual ones, and a low correlation between each other. Furthermore, the study has shown that rate arbitrage and market neutral strategies perform best under low economy context.In summary, hedge funds' return pattern differs between the diverse strategies and within each strategy. Despite the low positive returns hedge funds are considered a better investment option than mutual funds in times when the market is unstable.The return pattern does not apply to short term investments but it does apply to long term investments.

銀行的存續有賴於能正確的評估有利的交易，以及能在經濟環境逆勢的時候仍然能夠有效的經營獲利。資本市場中的企業信用評級，影響著股票和債券的的價值，同時唯有完善的風險管理機制和資本，信評機構才可以正確的評價信用。 金融產品的市場價值決定了預期損益。在市價衡量法的基礎之上，銀行可以決定是否要持有該部位或是使用該部位建立一個避險的投資組合。也因此，銀行面臨了許多抉擇，包括怎麼轉換市場風險到不同的資本市場，以及有關市場風險的所有決策。 基於以上的原因，銀行也已經被要求需要回應巴塞爾協定的要求，必須揭露相關的風險測度予金融市場的監督機構。在1993年，G30建議銀行可以使用風險值系統來衡量風險。依據1996年的BaselⅡ，銀行則被要求使用內部模型法來測量資本充足率。然而，計算風險值包括許多工作，例如選擇合適的風險因子、產生零息曲線、金融產品的評價、敏感度分析、損失分配的估計、投資組合管理以及風險報告等。在過去幾年，更因為避險、套利的目的，銀行累積了巨大的投資在衍生性商品商場，也使得風險管理更加的困難。在2008年的金融風暴之後，BaselⅢ指出，金融機構必須強化其交易簿內信用衍生性商品的風險管理，並同時揭露壓力風險值。綜合以上原因，銀行通常會建置風險管理系統來滿足這所有的需求和報告。也因為這些工作的複雜性，銀行一般會採用系統供應商的解決方案來實施一個市場風險管理系統。 此論文從市場風險管理的歷史發展角度，完整回顧風險值理論及實務應用的相關文獻，涵蓋parametric及non-parametric 風險值模型。同時，對於市場風險管理系統以及實務建置的流程也有完整的介紹和探討，著重在趨勢、方法論及系統實務理論應用上。 / The existence of a bank involves evaluating the advantages of potential trade and with the bank’s ability to survive under adverse economic cycles, which causes market pressure. The credit rating of corporations in the market affects the market value of shares and bonds, and the rating agency requires high-risk management standards and the capitalization of the corporation to assess the proper credit rating. The market price of a financial product determines the expected profit and loss for a bank. Based on the market price, a bank may make a decision to hold the position for a while or to build a well-diversified portfolio for hedging purposes. Banks therefore face the challenges of having many choices that they can transfer their market risk into different capital markets, and all decisions are associated with the market risk. For these reasons, the bank has been responded to disclose the risk metrics that have been set by the financial system supervisor. In 1993, G30 advised that banks should evaluate the financial risk of derivatives financial instruments by the Value-at-Risk (VaR) system. According to Basel Ⅱ in 1996, banks were required to have an internal model to measure sufficient capital using VaR. However, the calculation of VaR involves many tasks, such as the selection of a large number of risk factors, the methodologies of generating zero curves, the valuation of financial instruments, sensitivity parameters, loss distribution estimations, portfolio management and risk management reports for compliance purposes. In recent years, because of hedging, arbitrage and speculation purposes, banks leverage a huge sum of money in the derivatives market and make the difficult for the risk management. After the 2008 global financial crisis, BaselⅢ was introduced which asked for financial institutions to strengthen credit derivatives in trading books and disclose the stressed VaR etc. It is common that a bank has set up a risk management system to fulfill the requirements of the regulatory compliance, governance and reporting. Usually, banks adopt the provider’s solution for the implementation of a market risk management system. This dissertation surveys the literature on VaR theory and practices from a historical perspective for market risk. An overall survey of parametric and non-parametric VaR models is provided. The market risk management system and its implementation practices were also surveyed. Emphasis is placed on recent trends and developments in methodologies and system practices.

Thesis (M.Eng. (Development and Management Engineering)--North-West University, Potchefstroom Campus, 2008.

Thesis (M.Eng. (Development and Management Engineering)--North-West University, Potchefstroom Campus, 2008.

Avec la globalisation financière, une concurrence internationale accrue, l'importance de plus en plus grandissante des marchés financiers, chaque année des centaines de dirigeants introduisent leur société en bourse ou transfèrent le marché de cotation des titres de leur société. Les dirigeants changent la place ou le marché de cotation des titres de leur entreprise pour diverses raisons. Entre autres, nous pouvons citer la recherche d'une plus grande visibilité, du prestige, de la liquidité ou d'une source de financement alternative… Cette opération de changement de marché/compartiment de cotation à l'instar d'autres opérations sur titres (OPA, OPE, OPR, augmentation de capital, division d'action…) est susceptible d'influencer le cours des titres et certaines caractéristiques financières des sociétés qui la font. Le changement de compartiment de cotation au sein d'une bourse est un sujet qui a été relativement peu traité dans la littérature financière. Ses motivations et ses conséquences n'ont pas été assez explorées. L'objectif de ce travail de recherche est de combler ce vide en cherchant, dans un premier temps, à identifier les facteurs déterminants du transfert de compartiment de cotation et dans un second temps, à analyser les effets du transfert compartiment de cotation sur la valeur de l'entreprise migrante. En outre, nous tentons également de trouver des explications aux réactions du marché observées. Ce travail de recherche est très intéressant, car il porte sur une problématique qui n'a, jusque là, pas été suffisamment abordée par la littérature financière. De plus, la thématique est à la croisée de plusieurs domaines de recherche en Finance (microstructure, finance de marché, finance d'entreprise et comptabilité). Il ambitionne d'apporter un éclairage sur le transfert de marché de cotation à plusieurs niveaux. Tout d'abord, au delà des aspects méthodologiques, ce travail de recherche pourrait aider les dirigeants à mieux comprendre les conséquences économiques de leur décision de transférer les titres de leur société sur un compartiment plus exigeant, plus visible et mieux réglementé. Il pourrait apporter aux places boursières de nouveaux arguments pour justifier la création ou l'existence de plusieurs compartiments adaptés aux besoins des différentes sociétés émettrices. Enfin, ce travail pourrait servir aux investisseurs à mettre en place des stratégies pour profiter des opérations de transfert de marché. / With financial globalization and the increasingly significant role of financial markets, hundreds of managers are motivated each year to list their company or to move their firm's common stocks to a different listing location. This can be explained for a number of reasons. Among these are included the search for greater visibility, prestige, liquidity and/or for an alternative source of financing. Listing location transfer, like other securities transactions (takeover bids, seasoned equity offering, splits...) is likely to influence stock prices and certain financial characteristics (e.g. profitability, liquidity, risk) of the firms involved. Indeed, through such an operation, the CEO's send a signal to the financial markets in terms of their confidence in their firm's future prospects. Consequently, if the market perceives this transfer to be a signal for quality improvements among others, it might react favorably to its announcement. Listing market switching can take several forms. The transfer can be made between two independent stock markets from the same country (stock exchange transfer) or between two marketplaces located in two different countries (cross-listing). It can also be realized between two sections of the same stock exchange (stock exchange compartment transfer). This last category of market transfer is relatively unaddressed by financial literature. Its motivations and consequences were not investigated enough. In this research work, we attempt, in one hand, to identify the determinants of compartment transfer and on the other hand, to investigate its possible consequences. Our analysis has implications for managers who are faced with or are considering a decision to change the trading compartment of their stocks. We found evidence indicating that although the market appears to value a move to a more regulated market segment, the market's reaction is not uniform. Firms with relatively low liquidity before the transfer announcement have the most to gain in terms of a positive price movement and improvement in liquidity. Moreover, price increases observed after the transfer announcement are not permanent for all stocks. Thus managers need to give careful consideration to the possible effects on the pricing and liquidity behavior of firms being switched from a less regulated exchange section to a more regulated one. This research could also bring to stock marketplaces' managers new arguments to justify the creation or the existence of several compartments adapted to the needs of various issuing companies. Finally, this work could be used by investors to set up strategies to take advantage from an operation of stock exchange compartment transfer.

Submitted by Letícia Veiga (leticia@bancobbm.com.br) on 2009-10-14T18:14:21Z No. of bitstreams: 1 dissertacao_mestrado.pdf: 463853 bytes, checksum: ed0352c5d2db550641e489785ec36cf2 (MD5) / Approved for entry into archive by Vitor Souza(vitor.souza@fgv.br) on 2009-10-14T18:23:26Z (GMT) No. of bitstreams: 1 dissertacao_mestrado.pdf: 463853 bytes, checksum: ed0352c5d2db550641e489785ec36cf2 (MD5) / Made available in DSpace on 2009-10-14T18:23:52Z (GMT). No. of bitstreams: 1 dissertacao_mestrado.pdf: 463853 bytes, checksum: ed0352c5d2db550641e489785ec36cf2 (MD5) / In this work, we analyze the methodology developed by the Central Bank of Brazil, following rules set by Basel II, for estimating the Capital that must be held by Brazilian Banks in order to face its financial risks. The main objective is to compare this regulatory capital to the economic capital, the latter being measured by the methodology of Value at Risk (VaR). We asses and compare these two types of capital based on practical examples of portfolios commonly held by Brazilian banks trading different markets and strategies. Based on the results of this assessment, we analyze the difference and similarities of the two methodologies. We conclude emphasizing the importance of revising some aspects of Basel II rules in order to promote greater convergence between economic and regulatory capital. / Neste trabalho, analisamos a metodologia de cálculo do capital exigido aos bancos brasileiros pelo Banco Central do Brasil, segundo as regras de Basiléia II. O objetivo foi comparar capital regulamentar com capital econômico, medido por modelos de Value at Risk (VaR). Apresentamos exemplos de aplicação destes conceitos em carteiras normalmente negociadas por bancos brasileiros, mostrando a relação entre capital regulamentar e econômico para diversos mercados e estratégias. Tendo em vista as análises realizadas, realçamos os pontos de maior divergência entre os dois tipos de capital. Concluímos enfatizando a importância da revisão de alguns aspectos das regras de Basiléia II no sentido de promover maior convergência entre capital econômico e regulamentar.

Submitted by ANDERSON TEIXEIRA (andisu_7@hotmail.com) on 2014-08-28T23:41:37Z No. of bitstreams: 1 Dissertacao Final.pdf: 2749375 bytes, checksum: aeb92d2552a8d73a4a238d90bce0e3af (MD5) / Rejected by JOANA MARTORINI (joana.martorini@fgv.br), reason: Anderson, o titulo "resumo" e "Abstrat" deverá ser em letra maiúscula, por gentileza ajustar esse procedimento. Aguardo. on 2014-08-29T20:14:52Z (GMT) / Submitted by ANDERSON TEIXEIRA (andisu_7@hotmail.com) on 2014-08-29T20:57:35Z No. of bitstreams: 1 Dissertacao Final.pdf: 2750834 bytes, checksum: b056c57b7f07fe0bfb7a7aff0ba04ff5 (MD5) / Rejected by JOANA MARTORINI (joana.martorini@fgv.br), reason: Anderson, Esta faltando a pagina da assinatura dos professores. Seu prazo para a entrega da versão final expira hoje 01/09/2014. Aguardo a correção. on 2014-09-01T12:24:23Z (GMT) / Submitted by ANDERSON TEIXEIRA (andisu_7@hotmail.com) on 2014-09-01T15:04:36Z No. of bitstreams: 1 Dissertacao Final.pdf: 2752315 bytes, checksum: 1f4757805c3cf85bc5bd201146f9b6cb (MD5) / Rejected by JOANA MARTORINI (joana.martorini@fgv.br), reason: Anderson, A pagina das assinaturas não está nos padrões adequados. on 2014-09-01T15:09:53Z (GMT) / Submitted by ANDERSON TEIXEIRA (andisu_7@hotmail.com) on 2014-09-01T20:00:48Z No. of bitstreams: 1 Dissertacao Final.pdf: 2753769 bytes, checksum: 5b3fdf9115d83d697763f83b0a85dad9 (MD5) / Approved for entry into archive by Vera Lúcia Mourão (vera.mourao@fgv.br) on 2014-09-01T20:25:15Z (GMT) No. of bitstreams: 1 Dissertacao Final.pdf: 2753769 bytes, checksum: 5b3fdf9115d83d697763f83b0a85dad9 (MD5) / Made available in DSpace on 2014-09-01T20:28:24Z (GMT). No. of bitstreams: 1 Dissertacao Final.pdf: 2753769 bytes, checksum: 5b3fdf9115d83d697763f83b0a85dad9 (MD5) Previous issue date: 2014-08-01 / Leverage in hedge funds has been a matter of concern for investors and scholars in past years. Recent examples of such strategies have proved advantageous in periods of low uncertainty in the economy, but disastrous in times of crisis. In the field of quantitative finance, researchers have been trying to find a level of leverage that optimizes the return of an investment given the risk. In the literature, studies have been more qualitative than the quantitative , and have made little use of computational methods. One way to assess whether a leverage strategy earns higher returns than another is to define the objective function that relates risk and return for each strategy, find the constraints for the problem and solve it numerically through Monte Carlo simulations. This dissertation has adopted this approach to treat the investment in a long-short equity strategy in different scenarios: different forms of leverage, stock prices dynamics and levels of correlation between these prices. Dynamics simulations of invested capital due to changes in stock prices over time were made. Some criteria of credit guarantee, the possibility of buying and selling stocks during the investment period and the risk profile of the investor were considered in the simulations. Finally, we studied the distribution of the return on investment for different levels of leverage and it was possible to quantify which of these levels is more advantageous to the investment strategy given the constraints of risk. / Alavancagem em hedge funds tem preocupado investidores e estudiosos nos últimos anos. Exemplos recentes de estratégias desse tipo se mostraram vantajosos em períodos de pouca incerteza na economia, porém desastrosos em épocas de crise. No campo das finanças quantitativas, tem-se procurado encontrar o nível de alavancagem que otimize o retorno de um investimento dado o risco que se corre. Na literatura, os estudos têm se mostrado mais qualitativos do que quantitativos e pouco se tem usado de métodos computacionais para encontrar uma solução. Uma forma de avaliar se alguma estratégia de alavancagem aufere ganhos superiores do que outra é definir uma função objetivo que relacione risco e retorno para cada estratégia, encontrar as restrições do problema e resolvê-lo numericamente por meio de simulações de Monte Carlo. A presente dissertação adotou esta abordagem para tratar o investimento em uma estratégia long-short em um fundo de investimento de ações em diferentes cenários: diferentes formas de alavancagem, dinâmicas de preço das ações e níveis de correlação entre esses preços. Foram feitas simulações da dinâmica do capital investido em função das mudanças dos preços das ações ao longo do tempo. Considerou-se alguns critérios de garantia de crédito, assim como a possibilidade de compra e venda de ações durante o período de investimento e o perfil de risco do investidor. Finalmente, estudou-se a distribuição do retorno do investimento para diferentes níveis de alavancagem e foi possível quantificar qual desses níveis é mais vantajoso para a estratégia de investimento dadas as restrições de risco.

Submitted by RENATO MORI (rmori3@hotmail.com) on 2017-09-20T05:58:01Z No. of bitstreams: 1 dissertacao_VaRArmaGarchSkewt.pdf: 3267680 bytes, checksum: 6a8a935c128bb04a8a4f91fb592de3a8 (MD5) / Approved for entry into archive by Thais Oliveira (thais.oliveira@fgv.br) on 2017-09-20T17:58:58Z (GMT) No. of bitstreams: 1 dissertacao_VaRArmaGarchSkewt.pdf: 3267680 bytes, checksum: 6a8a935c128bb04a8a4f91fb592de3a8 (MD5) / Made available in DSpace on 2017-09-21T13:36:32Z (GMT). No. of bitstreams: 1 dissertacao_VaRArmaGarchSkewt.pdf: 3267680 bytes, checksum: 6a8a935c128bb04a8a4f91fb592de3a8 (MD5) Previous issue date: 2017-08-22 / A proposta do estudo é aplicar ao Ibovespa, modelo paramétrico de VaR de 1 dia, com distribuição dos retornos dinâmica, que procura apreciar características empíricas comumente apresentadas por séries financeiras, como clusters de volatilidade e leptocurtose. O processo de retornos é modelado como um ARMA com erros GARCH que seguem distribuição t assimétrica. A metodologia foi comparada com o RiskMetrics e com modelos ARMA-GARCH com distribuição dos erros normal e t. Os modelos foram estimados diariamente usando uma janela móvel de 1008 dias. Foi verificado pelos backtests de Christoffersen e de Diebold, Gunther e Tay que dentre os modelos testados, o ARMA(2,2)- GARCH(2,1) com distribuição t assimétrica apresentou os melhores resultados. / The proposal of the study is to apply to Ibovespa a 1 day VaR parametric model, with dynamic distribution of returns, that aims to address empirical features usually seen in financial series, such as volatility clustering and leptocurtosis. The returns process is modeled as an ARMA with GARCH residuals that follow a skewed t distribution. The methodology was compared to RiskMetrics and to ARMA-GARCH with normal and t distributed residuals. The models were estimated every daily period using a window of 1008 days. By the backtests of Christoffersen and Diebold, Gunther and Tay, among the tested models, the ARMA(2,2)-GARCH(2,1) with skewed t distribution has given the best results.

The study focuses on tariff-linked (or commodity-linked) agreements entered into between a power utility and commodity producers. The main purpose of these types of agreements is to link electricity tariff payable by commodity producers to the price of the commodity produced thereby transferring a certain level of commodity price risk to the power utility. The study looks at risk management practices of a power utility company with a particular reference to tariff-linked agreements. Also, the study critically analyses risk hedging mechanisms put in place by the power utility. The report makes practical recommendations, where applicable, in dealing with these risks. Risk management continuously evolve to meet the challenges of complex financial world. Despite the latest sophisticated risk management tools available commodity producers still encounter difficulties to hedge the price risk. The challenge for the power utility is the application of new risk management tools to effectively manage price risk. / Business Management / M.Com. (Business Economics)

Suite à la crise financière et économique de 2008, il a été constaté sur le portefeuille de négociation des banques un montant de capital réglementaire significativement inférieur aux pertes réelles. Pour comprendre les causes de cette insuffisance de capital réglementaire, il nous a paru important d'évaluer la fiabilité des modèles de mesure de risque de marché et de proposer des méthodologies de stress test pour la gestion des risques extrêmes. L'objectif est de mesurer le capital réglementaire sur un portefeuille de négociation composé d'actions et de matières premières par la mesure de la Value at Risk (VaR) et l'Expected Shortfall. Pour réaliser cet objectif, nous avons utilisé le modèle Generalized Pareto Distribution (GPD) et deux modèles internes utilisés par les banques : méthode de simulation historique et modèle de la loi normale. Une première évaluation de la fiabilité effectuée sur les trois modèles de risque sous l'hypothèse de volatilité constante, montre que les modèles internes des banques et le modèle GPD ne mesurent pas correctement le risque du portefeuille d'étude pendant les périodes de crise. Néanmoins, le modèle GPD est fiable en période de faible volatilité mais avec une forte surestimation du risque réel ; cela peut conduire les banques à bloquer plus de fonds propres réglementaires qu'il est nécessaire. Une seconde évaluation de la fiabilité des modèles de risque a été effectuée sous l'hypothèse du changement de la volatilité et par la prise en compte de l'effet asymétrique des rentabilités financières. Le modèle GPD s'est révélé le plus fiable quelles que soient les conditions des marchés. La prise en compte du changement de la volatilité a amélioré la performance des modèles internes des banques. L'intégration des scénarios historiques et hypothétiques dans les modèles de risque a permis d'évaluer le risque extrême tout en diminuant la subjectivité reprochée aux techniques de stress test. Le stress test réalisé avec les modèles internes des banques ne permet pas une mesure correcte du risque extrême. Le modèle GPD est mieux adapté pour le stress test. Nous avons développé un algorithme de stress test qui permettra aux banques d'évaluer le risque extrême de leurs portefeuilles et d'identifier les facteurs de risque responsables de ce risque. Le calcul du capital réglementaire sur la base de la somme de la VaR et du stress VaR n'est pas logique et entraîne un doublement des fonds propres réglementaires des banques. Le doublement de ces fonds propres aura pour conséquence le resserrement du crédit à l'économie. Nous observons que le coefficient multiplicateur et le principe de la racine carrée du temps de l'accord de Bâle conduisent les banques à faire un arbitrage en faveur des modèles de risque non fiables. / During the financial and economic crisis of 2008, it was noticed that the amount of capital required for banks' trading portfolio was significantly less than the real losses. To understand the causes of this low capital requirement, it seemed important to estimate the reliability of the market risk models and to propose stress testing methodologies for the management of extreme risks. The objective is to measure the capital requirement on a trading portfolio, composed of shares and commodities by the measure of the Value at Risk (VaR) and Expected Shortfall. To achieve this goal, we use the Generalized Pareto Distribution (GPD) and two internal models commonly used by banks: historical simulation method and model of the normal law. A first evaluation of the reliability made on the three risk models under the hypothesis of constant volatility, shows that the internal banks' models and the GPD model do not measure correctly the risk of the portfolio during the crisis periods. However, GPD model is reliable in periods of low volatility but with a strong overestimation of the real risk; it can lead banks to block more capital requirement than necessary. A second evaluation of the reliability of the risk models was made under the hypothesis of the change of the volatility and by considering the asymmetric effect of the financial returns. GPD model is the most reliable of all, irrespective of market conditions. The performance of the internal banks' risk models improves when considering the change of the volatility. The integration of the historic and hypothetical scenarios in the risk models, improves the estimation of the extreme risk, while decreasing the subjectivity blamed to the stress testing techniques. The stress testing realized with the internal models of banks does not allow a correct measure of the extreme risk. GPD model is better adapted for the stress testing techniques. We developed an algorithm of stress testing which allow banks to estimate the extreme risk of their portfolios and to identify the risk factors causing this risk. The calculation of the capital requirement based on the sum of the VaR and the stress VaR is not logical and leads to doubling the capital requirement of banks. Consequently, it conducts to a credit crunch in the economy. We observe that the multiplier coefficient and the principle of square root of time of the Basel's agreement lead banks to make arbitration in favor of risk models that are not reliable.