从准确函数和损失函数两个角度比较市场风险度量

Q3 Decision Sciences

ACRN Journal of Finance and Risk Perspectives Pub Date : 2023-01-01 DOI:10.35944/jofrp.2022.11.1.005

Sonia Benito Muela, Carmen López-Martín, R. Arguedas-Sanz

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引用次数: 0

摘要

根据基于巴塞尔偿付能力框架的新规定，即巴塞尔协议III和巴塞尔协议IV，金融机构必须根据预期缺口(ES)指标计算市场风险资本要求，取代风险价值(VaR)指标。在金融文献中，有许多论文致力于比较VaR方法，但很少有研究关注于比较ES方法。为了弥补这一差距，我们对应用于IBEX-35股指的VaR和ES模型进行了全面的比较。从准确的风险度量和损失函数两个角度进行了比较。结果表明，基于条件极值理论(EVT)的市场风险估计方法优于参数方法和滤波历史模拟方法。

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A comparison of market risk measures from a twofold perspective: accurate and loss function

Under the new regulation based on Basel solvency framework, known as Basel III and Basel IV, financial institutions must calculate the market risk capital requirements based on the Expected Shortfall (ES) measure, replacing the Value at Risk (VaR) measure. In the financial literature, there are many papers dedicated to compare VaR approaches but there are few studies focusing in comparing ES approaches. To cover this gap, we have carried out a comprenhensive comparative of VaR and ES models applied to IBEX-35 stock index. The comparison has been carried out from a twofold perspective: accurate risk measure and loss functions. The results indicate that the method based on the conditional Extreme Value Theory (EVT) is the best in estimating market risk, outperforming Parametric method and Filter Historical Simulation.

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来源期刊

ACRN Journal of Finance and Risk Perspectives Business, Management and Accounting-Business and International Management

CiteScore

3.30

自引率

0.00%

发文量

审稿时长

14 weeks

期刊介绍： This journal is special because it aims to provide an outlet for inter-disciplinary and more in-depth research papers with various methodological approaches from the broad fields of Finance, Risk and Accounting. The target group of this journal are academics who want to get a better understanding of the interconnectedness of their fields by acknowledging the methods and theories used in closely related areas. The JOFRP thus aims to overcome the self-imposed paradigmatic boundaries and reflexive isomorphisms of the individual, typically rather narrow fields and invites new and combined perspectives from the fields of Finance, Risk and Accounting. Despite its methodological, topical and disciplinary openness - it does so with a strong focus on academic rigour and robustness. Articles can vary in size and approaches but all articles will be strictly double-blind peer reviewed and authors are frequently invited to discuss the ramifications of their articles in the global FRAP and SSFII conferences.