Meny

Javascript verkar inte påslaget? - Vissa delar av Lunds universitets webbplats fungerar inte optimalt utan javascript, kontrollera din webbläsares inställningar.
Du är här

Measuring Event Risk

Författare:
Publiceringsår: 2009
Språk: Engelska
Sidor: 265-287
Publikation/Tidskrift/Serie: Journal of Financial Econometrics
Volym: 7
Nummer: 3
Dokumenttyp: Artikel
Förlag: Oxford University Press

Sammanfattning

This paper decomposes the popular risk measure Value-at-Risk (VaR) into
one jump- and one continuous component. The continuous component corresponds
to general market risk and the jump component is proportional to the event risk as defined in the Basel II accord. We find that event risk, which
is currently not incorporated into most banks’ VaR models, comprises a substantial part of total VaR. It constitutes 30% of the risk for a portfolio of small cap stocks but less than 1% for a portfolio of large cap stocks. The national supervising agency in each membership country is advised by the Basel rules to add an additional capital charge to a bank whose models do not capture event risk. The large variation in event risk, also found across 10 individual stocks, suggests that an approach that varies the capital surcharge, based on the type of asset, should be used by the supervisors.

Disputation

Nyckelord

  • Business and Economics
  • Value-at-Risk
  • Jumps

Övriga

Published
Yes
  • ISSN: 1479-8409

Box 117, 221 00 LUND
Telefon 046-222 00 00 (växel)
Telefax 046-222 47 20
lu [at] lu [dot] se

Fakturaadress: Box 188, 221 00 LUND
Organisationsnummer: 202100-3211
Om webbplatsen