Risk Management & Analysis in Financial Institutions eJournal最新文献

XVA Estimates with Empirical Martingale Simulation 基于经验鞅模拟的XVA估计

Risk Management & Analysis in Financial Institutions eJournal Pub Date : 2021-10-28 DOI: 10.2139/ssrn.3948228

Stefano Renzitti, P. Bastani, Steven Sivorot

引用次数: 0

Marginals Versus Copulas: Which Account For More Model Risk In Multivariate Risk Forecasting? 边际与copula:在多变量风险预测中哪个模型风险更大?

Risk Management & Analysis in Financial Institutions eJournal Pub Date : 2021-09-20 DOI: 10.2139/ssrn.3927369

Simon Fritzsch, Maike Timphus, Gregor N. F. Weiß

引用次数: 1

Sensitivities-Based Method and Expected Shortfall for Market Risk Under FRTB and Its Impact on Options Risk Capital 基于敏感性的市场风险预测方法及对期权风险资本的影响

Risk Management & Analysis in Financial Institutions eJournal Pub Date : 2021-09-18 DOI: 10.2139/ssrn.3926342

Carlos Alexander Grajales, Santiago Medina Hurtado

{"title":"Sensitivities-Based Method and Expected Shortfall for Market Risk Under FRTB and Its Impact on Options Risk Capital","authors":"Carlos Alexander Grajales, Santiago Medina Hurtado","doi":"10.2139/ssrn.3926342","DOIUrl":"https://doi.org/10.2139/ssrn.3926342","url":null,"abstract":"PurposeThis paper measures different market risk impacts on options portfolios under the new Fundamental Review of the Trading Book (FRTB) regulation, issued in Basel and coming into effect in 2023.Design/methodology/approachThis paper first suggests an algorithm for implementing the FRTB standardised approach via the sensitivities-based method to estimate a portfolio's risk capital and presents an illustration applied to an option position. Second, it proposes a methodology to estimate the expected shortfall in options portfolios from the FRTB internal models approach. In this regard, an application is developed to measure expected shortfall (ES) and value at risk (VaR) impacts under FRTB versus conventional VaR in a currency option position by considering stress scenarios from the 2007–9 and 2020–1 crises and back-testing procedures.FindingsThe suggested algorithm satisfactorily captures impacts via the sensitivities-based method, and higher risk capital demands are expected for emerging economies. Also, the planned FRTB methodology to measure ES and VaR is appropriate; in particular, historical metrics perform well. Astonishingly, their revealed impacts are more significant under the 2020–1 pandemic crisis than the 2007–9 financial crisis.Originality/valueThe proposals developed weave a communication bridge between the standardised and internal approaches of FRTB regulation, which can be scaled up technologically and institutionally.","PeriodicalId":251522,"journal":{"name":"Risk Management & Analysis in Financial Institutions eJournal","volume":"148 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-09-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114516822","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 2

A 2-Factor model for inclusion of Voluntary Termination Risk in Automotive Retail Loan Portfolios 汽车零售贷款组合中自愿终止风险的2因素模型

Risk Management & Analysis in Financial Institutions eJournal Pub Date : 2021-09-07 DOI: 10.2139/ssrn.3919109

Simone Caenazzo, Ksenia Ponomareva

引用次数: 0

Lessons from Estimating the Average Option-implied Volatility Term Structure for the Spanish Banking Sector 估算西班牙银行业平均期权隐含波动率期限结构的经验教训

Risk Management & Analysis in Financial Institutions eJournal Pub Date : 2021-09-02 DOI: 10.2139/ssrn.3916164

María T. González-Pérez

{"title":"Lessons from Estimating the Average Option-implied Volatility Term Structure for the Spanish Banking Sector","authors":"María T. González-Pérez","doi":"10.2139/ssrn.3916164","DOIUrl":"https://doi.org/10.2139/ssrn.3916164","url":null,"abstract":"This paper estimates the volatility index term structure for the Spanish bank industry (SBVX) using the implied volatility of individual banks and assuming market correlation risk premium. This methodology enables calculating a volatility index for arbitrary (non-traded) portfolios. Using data from 2015 to 2021, we find that SBVX informs about the dynamics of bank returns beyond the standard market volatility index VIBEX, especially when bank returns are negative; and that one-year SBVX beats shorter maturities in explaining bank returns. On the other hand, positive bank returns relate to the dynamics of VIBEX just as much as SBVX, which aligns with the belief that a drop in global volatility (uncertainty) positively affects firm performance and, therefore, bank value projections. We find one-month SBVX better than VIBEX to forecast monthly bank returns volatility, regardless of the tenor we use to compute VIBEX. This paper provides empirical evidence that idiosyncratic implied volatility is just as significant, or even more than global volatility, to monitor current and future banks’ share price performance. We advise using SBVX term structure, short-term VIBEX, and market correlation risk premium to monitor uncertainty and returns in the banking sector and foresee periods of stress in this industry. Our results may be of great interest to those seeking to estimate the banking sector’s sensitivity to uncertainty, volatility, and risk.","PeriodicalId":251522,"journal":{"name":"Risk Management & Analysis in Financial Institutions eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-09-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130876416","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 30

Risk Measures Induced by Efficient Insurance Contracts 有效保险合同引发的风险措施

Risk Management & Analysis in Financial Institutions eJournal Pub Date : 2021-09-01 DOI: 10.2139/ssrn.3915592

Qiuqi Wang, Ruodu Wang, R. Zitikis

引用次数: 4

One-Year and Ultimate Reserve Risk in Mack Chain Ladder Model Mack链梯模型中的一年期和最终储备风险

Risk Management & Analysis in Financial Institutions eJournal Pub Date : 2021-08-25 DOI: 10.2139/ssrn.3799665

M. Szatkowski, Łukasz Delong

引用次数: 2

Dynamic Currency Hedging with Ambiguity 具有模糊性的动态货币对冲

Risk Management & Analysis in Financial Institutions eJournal Pub Date : 2021-08-10 DOI: 10.2139/ssrn.3906716

Pawel Polak, Urban Ulrych

{"title":"Dynamic Currency Hedging with Ambiguity","authors":"Pawel Polak, Urban Ulrych","doi":"10.2139/ssrn.3906716","DOIUrl":"https://doi.org/10.2139/ssrn.3906716","url":null,"abstract":"This paper establishes a general relation between investor's ambiguity and non-Gaussianity of financial asset returns. Based on that relation and utilizing a flexible non-Gaussian returns model for the joint distribution of portfolio and currency returns, we develop an ambiguity-adjusted dynamic currency hedging strategy for international investors. We propose an extended filtered historical simulation that combines Monte Carlo simulation based on volatility clustering patterns with the semi-parametric non-normal return distribution from historical data. This simulation allows us to incorporate investor's ambiguity into the dynamic currency hedging strategy algorithm that can numerically optimize an arbitrary risk measure, such as volatility, value-at-risk, or expected shortfall. The out-of-sample back-test results show that, for globally diversified investors, the derived dynamic currency hedging strategy with ambiguity is stable, robust, and highly risk reductive. It outperforms the benchmarks of constant hedging as well as dynamic approaches without ambiguity in terms of lower maximum drawdown and higher Sharpe and Sortino ratios in gross terms and net of transaction costs.","PeriodicalId":251522,"journal":{"name":"Risk Management & Analysis in Financial Institutions eJournal","volume":"1998 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125712559","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1

Betting Against Quant: Examining the Factor Exposures of Thematic Indices 做空量化:检视主题性指数的因素暴露

Risk Management & Analysis in Financial Institutions eJournal Pub Date : 2021-08-05 DOI: 10.2139/ssrn.3899750

David Blitz

引用次数: 0

COVID-19 and Auto Loan Origination Trends COVID-19与汽车贷款发放趋势

Risk Management & Analysis in Financial Institutions eJournal Pub Date : 2021-08-02 DOI: 10.2139/ssrn.3897908

José J. Canals-Cerdá, Brian Jonghwan Lee

{"title":"COVID-19 and Auto Loan Origination Trends","authors":"José J. Canals-Cerdá, Brian Jonghwan Lee","doi":"10.2139/ssrn.3897908","DOIUrl":"https://doi.org/10.2139/ssrn.3897908","url":null,"abstract":"We study the impact of the COVID-19 crisis on auto loan origination activity during 2020. We focus on the dynamic impact of the crisis across lending channels, Equifax Risk Score (Risk Score) segments, and relevant geographic characteristics such as urbanization rate. We measure a significant drop in auto loan originations in March‒April followed by a near rebound in May‒June. Originations remain slightly depressed until October and fall again in November‒December. We document the largest drop and the smallest rebound in the subprime segment. We do not find any suggestive evidence that used car loan originations exhibited patterns significantly different from the rest of the market. We also document a more pronounced impact in the Northeast and the Pacific, seemingly influenced by the higher urbanization rate in these regions. Bank-financed originations experienced the largest drop and the smallest rebound, thus resulting in a loss of market share and continuing a 10-year trend of bank share loss in auto lending. We find that the drop in auto loans originated by banks was particularly significant among subprime borrowers. The impact of the COVID-19 crisis across origination channels contrasts with the experience during the Great Recession when banks contributed the largest support to the auto loan origination segment during periods of stress and finance company-originated auto loans were depressed.","PeriodicalId":251522,"journal":{"name":"Risk Management & Analysis in Financial Institutions eJournal","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131834290","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0