Market risk, value-at-risk and exponential weighting

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2022-07-01 DOI:10.18559/ebr.2022.2.5

Udo Broll, Andreas Förster

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引用次数: 1

Abstract

Abstract Banks and financial intermediaries are exposed to market risk. The aim of the paper is to explore the implications of legal requirements on market risk valuation. The focus is on the calculation of the permissible weighting factor of the concept of value-at-risk (VaR). When measuring market risk, banks and financial intermediaries may deviate from equally weighting historical data in their value-at-risk calculation and instead use an exponential time series weighting. The use of exponential weighting in the value-at-risk calculation is very popular because it takes into account changes in market volatility (immediately) and can therefore quickly adapt to VaR. In less volatile market phases this leads to a reduction in VaR and thus to lower own funds’ requirements for banks and financial intermediaries. However, in the exponential weighting a high volatility in the past is quickly forgotten and the VaR can be underestimated. To prevent this banks and financial intermediaries are not completely free to choose a weighting (decay) factor. The exchange rate between Polish zloty and euro is used to estimate the value-at-risk as an example and exceptions to the general legal requirements are also discussed.

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市场风险、风险价值和指数加权

银行和金融中介机构面临着市场风险。本文的目的是探讨法律要求对市场风险评估的影响。重点是计算风险价值(VaR)概念的允许加权系数。在衡量市场风险时，银行和金融中介机构在其风险价值计算中可能会偏离同等权重的历史数据，而使用指数时间序列加权。在风险价值计算中使用指数加权非常受欢迎，因为它考虑了市场波动的变化(立即)，因此可以快速适应VaR。在波动较小的市场阶段，这导致VaR降低，从而降低了对银行和金融中介机构的自有资金要求。然而，在指数加权中，过去的高波动性很快被遗忘，VaR可能被低估。为了防止这种情况发生，银行和金融中介机构不能完全自由地选择加权(衰减)因子。以波兰兹罗提与欧元之间的汇率为例来估计风险价值，并讨论了一般法律要求的例外情况。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.