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Quantile methods for financial risk managementSchaumburg, Julia 27 February 2013 (has links)
In dieser Dissertation werden neue Methoden zur Erfassung zweier Risikoarten entwickelt. Markrisiko ist definiert als das Risiko, auf Grund von Wertrückgängen in Wertpapierportfolios Geld zu verlieren. Systemisches Risiko bezieht sich auf das Risiko des Zusammenbruchs eines Finanzsystems, das durch die Notlage eines einzelnen Finanzinstituts entsteht. Im Zuge der Finanzkrise 2007–2009 realisierten sich beide Risiken, was weltweit zu hohen Verlusten für Investoren, Unternehmen und Steuerzahler führte. Vor diesem Hintergrund besteht sowohl bei Finanzinstituten als auch bei Regulierungsbehörden Interesse an neuen Ansätzen für das Risikomanagement. Die Gemeinsamkeit der in dieser Dissertation entwickelten Methoden besteht darin, dass unterschiedliche Quantilsregressionsansätze in neuartiger Weise für das Finanzrisikomanagement verwendet werden. Zum einen wird nichtparametrische Quantilsregression mit Extremwertmethoden kombiniert, um extreme Markpreisänderungsrisiken zu prognostizieren. Das resultierende Value at Risk (VaR) Prognose- Modell für extremeWahrscheinlichkeiten wird auf internationale Aktienindizes angewandt. In vielen Fällen schneidet es besser ab als parametrische Vergleichsmodelle. Zum anderen wird ein Maß für systemisches Risiko, das realized systemic risk beta, eingeführt. Anders als bereits existierende Messgrößen erfasst es explizit sowohl Risikoabhängigkeiten zwischen Finanzinstituten als auch deren individuelle Bilanzmerkmale und Finanzsektor-Indikatoren. Um die relevanten Risikotreiber jedes einzelnen Unternehmens zu bestimmen, werden Modellselektionsverfahren für hochdimensionale Quantilsregressionen benutzt. Das realized systemic risk beta entspricht dem totalen Effekt eines Anstiegs des VaR eines Unternehmens auf den VaR des Finanzsystems. Anhand von us-amerikanischen und europäischen Daten wird gezeigt, dass die neue Messzahl sich gut zur Erfassung und Vorhersage systemischen Risikos eignet. / This thesis develops new methods to assess two types of financial risk. Market risk is defined as the risk of losing money due to drops in the values of asset portfolios. Systemic risk refers to the breakdown risk for the financial system induced by the distress of individual companies. During the financial crisis 2007–2009, both types of risk materialized, resulting in huge losses for investors, companies, and tax payers all over the world. Therefore, considering new risk management alternatives is of interest for both financial institutions and regulatory authorities. A common feature of the models used throughout the thesis is that they adapt quantile regression techniques to the context of financial risk management in a novel way. Firstly, to predict extreme market risk, nonparametric quantile regression is combined with extreme value theory. The resulting extreme Value at Risk (VaR) forecast framework is applied to different international stock indices. In many situations, its performance is superior to parametric benchmark models. Secondly, a systemic risk measure, the realized systemic risk beta, is proposed. In contrast to exististing measures it is tailored to account for tail risk interconnections within the financial sector, individual firm characteristics, and financial indicators. To determine each company’s relevant risk drivers, model selection techniques for high-dimensional quantile regression are employed. The realized systemic risk beta corresponds to the total effect of each firm’s VaR on the system’s VaR. Using data on major financial institutions in the U.S. and in Europe, it is shown that the new measure is a valuable tool to both estimate and forecast systemic risk.
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Determinação do valor em risco em empresas não financeiras - estudo de caso de empresa geradora de energia / Determination of the value at risk in non-financial companies - case of electrical generation companyVaranda Neto, José Monteiro 11 July 2005 (has links)
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Previous issue date: 2005-07-11 / The main goal of this dissertation is the study of the utilization of CFaR Cash Flow at Risk.
CFaR is market risk assessing tool that is intended to simulate the value at risk of a future cash flow, operational and financial, given a confidence interval.
The main idea is to present CFaR model applied to a non-financial company from the electrical sector a GENCO, Generation Company - , where either the rates and indexes of its financial assets and liabilities as well the demand for its services can be assumed random variables, in a process of statistical modeling for measurement of its cash flow s likely range of variation in the following fiscal year.
Besides CFaR itself, other risk numbers will take part in the analysis, as EaR - Earnings at Risk - , that is the P&L of the company, with a given probability of occurrence.
EBITDA at Risk, the minimum statistical value for the EBITDA figure with a given probability of occurrence, will be also calculated. / O objetivo geral da pesquisa é o estudo da utilização do CFaR, uma ferramenta de controle de risco de mercado que busca simular o valor em risco do fluxo de caixa futuro, tanto operacional como financeiro de uma empresa, dentro de um intervalo de confiança pré-definido.
A idéia é apresentar o modelo CFaR aplicado a uma empresa não financeira, em especial uma empresa do setor elétrico geradora de energia, onde tanto os indexadores de seus ativos e passivos financeiros como a demanda por seus serviços podem ser tratados como variáveis aleatórias, num processo de modelagem estatística para mensuração da possível faixa de variação de seu fluxo de caixa no(s) exercício(s) subseqüentes.
Além do CFaR propriamente dito, farão parte da análise o EaR (do inglês Earnings at Risk), que é o lucro líquido da empresa com dada probabilidade de ocorrência e o EBITDA em risco, que é o mínimo estatístico para a variável EBITDA (Receita antes de Juros, Imposto de Renda, Depreciação e Amortização) também com determinada probabilidade de ocorrência.
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Specifika auditu účetní závěrky banky v České republice / The Specifics of the Audit of Financial Statements of the Bank in the Czech RepublicHofman, Jiří January 2011 (has links)
This master thesis deals with the area of external audit of the bank in the Czech Republic. Its goal is to identify and describe the specifics making the procedures during bank's financial statements audit different from those applied by non-financial commercial subjects. The first part is focused on the general framework of the external audit. The second part describes main features of the bank identifying several risks connected with the business which have a significant influence on the approach used by the auditors. The third part describes the methodology applied by auditors during the audit of the bank.
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Riskpremien, vad ska man tro? : En studie med facit i handLindén, Markus, Särnblom, Stellan January 2005 (has links)
<p>The market risk premium is one of the most important parameters in finance. Its value and the ways to calculate a risk premium for the market is a widely debated subject. This thesis examines numerous ways of calculating a risk premium for the Swedish market with regard to how good an estimation they make of a real risk premium. Estimations based on historical periods ranging from 20 to 85 years is calculated as well as a premium based on forward-looking estimates. The real risk premium is solved out for a selection of companies and an index with the help of CAPM. An examination of these estimates leads to the conclusion that historical estimates of a risk premium may be outdated. The implication of this is that more effort should be put into examining a risk premium based on forward-looking estimates. In this context a thorough analysis of fundamentals should be added into the calculation.</p>
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Riskpremien, vad ska man tro? : En studie med facit i handLindén, Markus, Särnblom, Stellan January 2005 (has links)
The market risk premium is one of the most important parameters in finance. Its value and the ways to calculate a risk premium for the market is a widely debated subject. This thesis examines numerous ways of calculating a risk premium for the Swedish market with regard to how good an estimation they make of a real risk premium. Estimations based on historical periods ranging from 20 to 85 years is calculated as well as a premium based on forward-looking estimates. The real risk premium is solved out for a selection of companies and an index with the help of CAPM. An examination of these estimates leads to the conclusion that historical estimates of a risk premium may be outdated. The implication of this is that more effort should be put into examining a risk premium based on forward-looking estimates. In this context a thorough analysis of fundamentals should be added into the calculation.
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Risk matters : studies in finance, trade and politicsVlachos, Jonas January 2001 (has links)
This thesis consists of four self-contained empirical essays. In the first essays "Markets for Risk and Openness to Trade: How are They Related?" (with Helena Svaleryd), we ask if there is an empirical relationship between financial development and openness to trade. Numerous theoretical papers have noted that trade policies can be used as an insurance against shocks from international markets. It follows that the development of markets for risk should reduce the incentives to rely on trade policy for insurance purposes. Feeney and Hillman (2001) explicitly demonstrate how asset-market incompleteness can affect trade policy in a model where trade policy is determined by the lobbying of interest groups. If risk can be fully diversified, special-interest groups have no incentive to lobby for protection, and free trade will prevail. Likewise, trade liberalization might increase the demand for financial services, thereby spurring the development of financial markets. Using several indicators of both openness to trade and financial development, we find an economically significant relation between the two. In particular, the relation holds when using the well known, although criticized (Rodriguez and Rodrik 1999), Sachs-Warner index, and structurally adjusted trade, as indicators of openness. For tariff levels and non-tariff barriers, the results hold only for relatively rich countries. Causality seems to be running both from openness to financial development and the other way around, depending on which indicator and methodology are used. Due to underlying technological differences, industries differ in their need for external financing (Rajan and Zingales, 1998). Since services provided by the financial sector are largely immobile across countries (Pagano et al., 2001), the pattern of specialization should be influenced by the degree of financial development. In the second essay, "Financial Markets, the Pattern of Specialization, and Comparative Advantage: Evidence from OECD Countries" (with Helena Svaleryd), we find this effect to be strong. In fact, the financial sector has an even greater impact on the pattern of specialization among OECD countries than differences in human- and physical capital. Further, the financial sector gives rise to comparative advantage in a way consistent with the Hecksher-Ohlin-Vanek model. Large and active stock markets, as well as the degree of concentration in the banking sector, produce the strongest and most consistent effects. The results also support the view that the quality accounting standards and the legal protection of creditors affect the pattern of industry specialization, while the depth of the financial system (measured by the amount of liquidity in an economy) is a source of comparative advantage. The third essay, "Who Wants Political Integration? Evidence from the Swedish EU-Membership Referendum" looks directly at the determinants of political attitudes towards regional integration and separation. More precisely, the regional voting pattern of the 1994 Swedish EU-membership referendum is analyzed. To explain this variation, an empirical investigation based on the extensive theoretical literature analyzing the determinants of regional economic and political integration is undertaken. Since enhanced possibilities of inter-regional risk sharing is one of the main gains from integration discussed in the literature (e.g Persson and Tabellini, 1996), special attention is given to this issue. The empirical results show that individuals living in labor markets exposed to a high degree of risk were more negative towards EU-membership than those living in safe ones. It is also shown that inhabitants of high-income labor markets, with a high level of schooling and small receipts of central government transfers were relatively positive towards the EU-membership. Given the restrictive regulations limiting discretionary policies within the EU, these results suggest that inhabitants of safe and rich regions voted in favor of secession from the Swedish transfer system, rather than in favor of European integration. In the final essay, "Does Labor Market Risk Increase the Size of the Public Sector? Evidence From Swedish Municipalities", I study if a high degree of private labor-market risk is related to a larger public sector in Swedish municipalities. The theoretical hypothesis is based on Rodrik (1998), who argues (and shows empirically) that countries exposed to a high degree of external risk also tend to have larger governments. The safe public sector is expanded at the expense of risky sectors and hence provides insurance against income volatility. Several problems related to data availability and comparability that apply to cross-country studies are circumvented by using data on Swedish municipalities. Further, there is no need to aggregate the public sector across different levels of governance: local risk is directly related to the size of the local public sector. The paper is not a complete parallel to Rodrik’s study, however. Several alternative insurance mechanisms that do not exist between countries are available between municipalities. For example, the central government provides insurance against individual-specific risk such as unemployment and illness, private capital markets are better integrated within than between countries, and the central government can hand out grants to municipalities. Despite these mitigating factors, local labor-market risk is found to have a substantial impact on municipal public employment. It is also found that shocks increasing the size of the public sector across all municipalities tend to generate a larger increase in risky locations. For municipal public spending and taxation the results are, however, much weaker. Hence, labor-market risk affects the labor intensity of the municipal public sector, rather than its size. / <p>Diss. Stockholm : Handelshögskolan, 2002</p>
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會計揭露對於市場風險之資訊內涵 / How informative are accounting disclosures about market risk?魏向璟, Wei,Hsiang-Chin Unknown Date (has links)
基於SEC之要求,越來越多美國金融機構於其財務報表附註中揭露金融交易資產之風險值;然而計算風險值涉及到許多假設,於是導致過去部分文獻對於風險值資訊揭露之可靠性產生質疑。本研究以風險值之揭露對於報表使用者之資訊價值作為研究課題;為求與附註揭露之風險值資訊比較,本研究以公司帳列之金融交易資產(Trading Assets)、金融交易收入(Trading Revenue)為基礎,利用蒙地卡羅模擬法模擬帳列金融交易資產於次期可能產生之最大潛在損失,並且透過OLS regression及panel data model探討:
(1)風險值及金融交易資產潛在可能損失是否可以預測次期金融交易收入波動
(2)風險值與金融交易資產潛在可能損失資訊之提供是否影響次期股票交易量
(3)風險值與金融交易資產潛在可能損失資訊是否可以有效預測次期股價報酬 率變異。
實證結果顯示,風險值之揭露與金融交易資產潛在可能損失之資訊對於預計次期金融交易收入之波動與股價報酬率變異均呈現顯著正相關;易言之,上述兩種資訊之揭露均提供增額之資訊價值。惟另方面,風險值之揭露與金融交易資產潛在可能損失之資訊卻與次期股票交易量呈正相關,也就是說上述兩種資訊的揭露反而會造成投資人降低長期投資持有的意願。 / Financial institutions in the United States are required by the Securities and Exchange Commission to disclose their Value at Risk (VaR) in the footnotes of the financial statements. Over the years, VaR has been used by institutional investors, industry consultants, and regulators as one of the key measures of market risk. However, there are a number of approaches to calculating VaR and some of them may involve various statistical models and assumptions. Due to the fact that different models and assumptions may be used, the VaR numbers produced by different institutions are difficult to compare with one another. The usefulness of these numbers is therefore decreased.
This thesis examines the usefulness of disclosures of VaR information. In order to compare with VaR disclosures, the implied potential maximum losses of trading assets are simulated by using Monte Carlo simulation. We then employ the OLS regression and the panel data models to investigate the following research questions:
(1)whether VaR and implied potential maximum losses of trading assets disclosed by financial institutions are instrumental in predicting the variability of trading revenue for the next quarter;
(2)whether VaR and implied potential maximum losses of trading assets disclosed by financial institutions affect investors' investing decision;
(3)how useful are VaR and implied potential maximum losses of trading assets in predicting the volatility of daily stock return next quarter.
The empirical results indicate that VaR and implied potential maximum losses of trading assets are significantly related to the variability of trading revenue and the volatility of daily stock returns next quarter. This evidence suggests that both types of disclosures provide incremental information on predicting the variability of trading revenue and investment risk in the future. Nevertheless, we also find that both VaR disclosures and implied potential maximum losses of trading assets are positively associated with future average stock trading volume, implying that investors tend to trade stock more frequently when the market risk information is disclosed.
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Rinkos rizikos analizė ir valdymas akcinėje bendrovėje Šiaulių bankas / Market risk analysis and management in Stock company Šiaulių bankasDargytė, Eglė 01 June 2005 (has links)
This master‘s final paper analyzes and systemizes theoretical and practical bank risk measurement and management analysis conducted by various Lithuanian and foreign authors; presents risk conception in banking sector. Comprehensively analyzes and evaluates bank’s market risk (interest rate, foreign currency and investment risk). The third part suggests market risk evaluation and management improvement opportunities in stock company Šiaulių bankas.
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由新巴塞爾資本協定探討銀行市場風險管理系統之建置與應用 / A Study on the Construction and Implementation of A Bank Market Risk System under Basel II陳星宏, Chen,hsing hung Unknown Date (has links)
鑒於金融市場快速的變動與日趨複雜之金融商品種類,銀行經營管理中所面臨之風險,尤以因金融市場價格變動(如市場利率、匯率、股價及商品價格之變動)造成對銀行資產負債表內及表外部位可能產生之損失,其所因應而生之市場風險須及時管控與適時因應。然而2007年因次級房貸問題引發全球性金融危機,益加彰顯風險管理制度的重要性與其再精進之處。
本研究期能藉由新巴塞爾資本協定中市場風險管理規範的探討,個案銀行之實例探究,對國內銀行在建構符合其需要的市場風險管理系統時有所助益,在建置市場風險管理系統的考量因素以及該系統的建置與應用,循序周全建構質化與量化標準之風險管理機制。
本研究由新巴塞爾資本協定規範探討銀行市場風險管理系統建置與其實際應用,歸納出研究結論顯示,市場風險管理系統架構之依循須能符合新巴塞爾資本協定之基本規範,藉由系統內建模型計算風險值以有效衡量交易簿與銀行簿之部位,及其利率、權益證券、外匯及商品四大類風險因子。市場風險管理系統需求規畫與評估,須就應用面(系統相關模組功能)、資料面(系統執行所需資料及存取介面、資料庫建置及資料完整性)與技術面(系統運作之軟體與硬體環境)予以考量。系統專案建置須有高階管理階層對市場風險管理系統專案相關執行程序的支持,前檯、中檯、後檯、資訊單位主管之配合與溝通協調。市場風險管理系統架構應考量市場風險限額管理須至各交易層級(如總行別、部門單位別、交易簿與銀行簿產品別等),因此系統功能模組設定與管理報表規畫設計則配合系統架構分級建立。市場風險管理制度之建立,應配合市場風險管理系統之應用與管理流程結合,訂定相關管理辦法,以規範市場風險管控機制運作及程序之確實執行。
關鍵字:新巴塞爾資本協定、市場風險、衍生性金融商品、風險值 / Recently, financial market is changed quickly and types of product are more and more complicated. Operation of Bank faces many risks that are losses of in or out balance sheet by price moving. Therefore, we need to manage and monitor the market risks that result from change in interest rate, exchange rate, equity price, commodity price in the time. In 2007, global financial crisis caused by subprime mortgage storm stands out the importance of risk management and needs of improving it.
On one hand, this research hopes to benefit banks to build up its market risk system satisfied the need by discussing market risk management under Basel II and looking into case study on the bank. While constructing the system, we have to pay attention to its practicability which meets standards of quantification and quality. On the other hand, this research discusses system built up and reality applying through Basel II and indicates some useful conclusion. At first, market risk system not only meets mainly criteria under Basel II but creats the value at risk (VaR) which can effectively estimate interest rate, securities, foreign exchange and commodities risks.Secondly, technology of applying, data and information should be considered into when evaluating the demands of market risk management system.
Moreover, risk system constructed needs support from senior management team and cooperation between relative departments. Besides, we need to take into account whether this mentioned system can implement market risk limit management to every transaction class, for example, trading books ,banking books, product type…etc.The system function and the management reports could be able to operate with the market risk limit management, accordingly. Most of all, market risk management regulation should be thought over the application and management process of market risk management system to make sure that market risk management could be implemented certainly.
Keywords: New Basel Capital Accord, Market Risk, Derivatives,Value at Risk
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Estrutura a termo de volatilidade no mercado brasileiro e aplicação para risco de mercadoAkamine, André Mitsuo 29 January 2014 (has links)
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Previous issue date: 2014-01-29 / Com o objetivo de analisar o impacto na Estrutura a Termos de Volatilidade (ETV) das taxas de juros utilizando dois diferentes modelos na estimação da Estrutura a Termo das Taxas de Juros (ETTJ) e a suposição em relação a estrutura heterocedástica dos erros (MQO e MQG ponderado pela duration), a técnica procede em estimar a ETV utilizando-se da volatilidade histórica por desvio padrão e pelo modelo auto-regressivo Exponentially Weighted Moving Average (EWMA). Por meio do teste de backtesting proposto por Kupiec para o VaR paramétrico obtido com as volatilidades das ETV´s estimadas, concluí-se que há uma grande diferença na aderência que dependem da combinação dos modelos utilizados para as ETV´s. Além disso, há diferenças estatisticamente significantes entre as ETV´s estimadas em todo os pontos da curva, particularmente maiores no curto prazo (até 1 ano) e nos prazos mais longos (acima de 10 anos). / For the purpose of analyzing the impact in Volatility Term Structure (VTS) of interest rate using two different models in the estimation of the Term Structure of Interest Rates (TSIR) and the assumption regarding the heterocedastic structure of errors (OLS and GLS weighted by duration), the technique proceeds in estimating the VTS using the historical volatility by the standard deviation and autoregressive model Exponentially Weighted Moving Average (EWMA). Through the backtesting test proposed by Kupiec for parametric VaR obtained with the volatilities of VTS’s estimate, conclude that there is a big difference in adherence that depend on the combination of the models used for VTS’s. In addition, there is statistically significant differences between the VTS’s estimated around the points of the curve, specially higher in the short term (less than 1 year) and long term (over 10 years).
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