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Displaying results 1 to 7 of 7.

  1. The effect of regulatory requirements and esg promotion on market liquidity
    Author: Csóka, Péter; Hevér, Judit
    Published: February 2023
    Publisher:  Magyar Nemzeti Bank, Budapest

    Liquidity and market risk are key considerations in financial markets, especially in times of financial crises. For this reason, regulatory attention to and measures in these fields have been on the rise for the past years. Based on practical... more

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 200
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    Liquidity and market risk are key considerations in financial markets, especially in times of financial crises. For this reason, regulatory attention to and measures in these fields have been on the rise for the past years. Based on practical experience, regulations aiming at ensuring funding liquidity or, in general, reducing certain risky positions have the side effect of reducing market liquidity. To understand this effect, we extend a standard general equilibrium model with transaction costs of trading, endogenous market liquidity, and the modeling of regulation. We prove that higher regulatory requirements or divesting bad ESG assets reduces market liquidity.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: MNB working papers ; 2023, 1
    Subjects: Market liquidity; Market risk; Liquidity risk; General equilibrium model; Regulatory requirement; ESG related assets
    Scope: 1 Online-Ressource (circa 30 Seiten), Illustrationen
  2. The EU regulatory framework for market risk and prudent valuation
    are the rules too procyclical? : evidence from the COVID-19 pandemic and the 2022 global energy crisis
    Author: Boivin, Stéphane; Crotti, Marco Giovanni; Malikkidou, Despo
    Published: [2023]
    Publisher:  European Banking Authority, Paris, France

    The 2020 COVID-19 pandemic crisis and the 2022 global energy crisis consecutive to Russia's aggression against Ukraine have been unprecedented in several aspects. In the European Union (EU), national governments, as well as European bodies put in... more

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    The 2020 COVID-19 pandemic crisis and the 2022 global energy crisis consecutive to Russia's aggression against Ukraine have been unprecedented in several aspects. In the European Union (EU), national governments, as well as European bodies put in place several relief measures to support the EU economy. However, the regulatory and supervisory responses in relation to prudential matters have been very different in these two crises. In this paper, we first assess the impact of the two crises on the capital requirements related to traded risk and discuss the issue of procyclicality in the regulatory framework. We then analyse and compare the regulatory measures taken by the legislators and by the European Banking Authority (EBA). We finally identify how the regulatory framework is set to change to address the drawbacks that became evident during the recent crises.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789292459215
    Other identifier:
    Series: EBA staff paper series ; n. 16 (09/2023)
    Subjects: Market risk; Prudent valuation; procyclicality; capital requirements; FRTB
    Scope: 1 Online-Ressource (circa 38 Seiten), Illustrationen
  3. A general approach to integrated risk management with skewed, fat-tailed risks
    Published: May 2004
    Publisher:  Federal Reserve Bank of New York, New York, NY

    The goal of integrated risk management in a financial institution is to measure and manage risk and capital across a range of diverse business activities. This requires an approach for aggregating risk types (market, credit, and operational) whose... more

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    The goal of integrated risk management in a financial institution is to measure and manage risk and capital across a range of diverse business activities. This requires an approach for aggregating risk types (market, credit, and operational) whose distributional shapes vary considerably. In this paper, we use the method of copulas to construct the joint risk distribution for a typical large, internationally active bank. This technique allows us to incorporate realistic marginal distributions that capture some of the essential empirical features of these risks - such as skewness and fat tails - while allowing for a rich dependence structure. We explore the impact of business mix and inter-risk correlations on total risk, whether measured by value at risk or expected shortfall. We find that given a risk type, total risk is more sensitive to differences in business mix or risk weights than it is to differences in inter-risk correlations. A complex relationship between volatility and fat tails exists in determining the total risk: whether they offset or reinforce each other will depend on the setting. The choice of copula (normal versus student-t), which determines the level of tail dependence, has a more modest effect on risk. We then compare the copula-based method with several conventional approaches to computing risk, each of which may be thought of as an approximation. One easily implemented approximation, which uses empirical correlations and quantile estimates, tracks the copula approach surprisingly well. In contrast, the additive approximation, which assumes no diversification benefit, typically overestimates risk by about 30 to 40 percent. -- market risk ; credit risk ; operational risk ; risk diversification ; copula

     
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/60689
    Edition: [Elektronische Ressource]
    Series: Staff reports / Federal Reserve Bank of New York ; 185
    Subjects: Risikomanagement; Financial services industry; Risk management; Market risk
    Scope: Online Ressource (PDF-Datei: 56 S., 499 KB), graph. Darst.
    Notes:

    Record-last-verified: 07-07-04
  4. A comparison of machine learning methods for predicting stock returns in the US market
    Author: Muzzioli, Silvia; Campisi, Giovanni; De Baets, Bernard
    Published: January 2021
    Publisher:  nUnimore, Università degli studi di Modena e Reggio Emilia, Dipartimento di economia Marco Biagi, [Modena]

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: DEMB working paper series ; n. 184
    Subjects: Machine learning; Volatility indices; Market risk
    Scope: 1 Online-Ressource (circa 16 Seiten), Illustrationen
  5. Forecasting returns in the US market through fuzzy rule-based classification systems
    Author: Muzzioli, Silvia; Campisi, Giovanni; De Baets, Bernard; Gambarelli, Luca
    Published: [2022]
    Publisher:  nUnimore, Università degli studi di Modena e Reggio Emilia, Dipartimento di economia Marco Biagi, [Modena]

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: [DEMB working paper series] ; [n. 202]
    Subjects: Fuzzy rule based systems; Machine learning; Volatility indices; Market risk
    Scope: 1 Online-Ressource (circa 15 Seiten), Illustrationen
  6. Is the global carbon market integrated?
    return and volatility connectedness in ETS systems
    Author: Lyu, Chenyan; Scholtens, Bert
    Published: 2022
    Publisher:  Department of Economics, Copenhagen Business School, Frederiksberg

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10398/0f17d4cc-f9b3-4b68-8e23-ecb767be8af2
    Series: Working paper / Department of Economics, Copenhagen Business School ; 2022, 07
    CSEI working paper ; 2022, 04
    Subjects: Carbon markets integration; Volatility connectedness; TVP-VAR; Market risk
    Scope: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  7. A universal stress scenario approach for capitalising non-modellable risk factors under the FRTB
    Author: Aichele, Martin; Crotti, Marco Giovanni; Rehle, Benedikt
    Published: [2021]
    Publisher:  European Banking Authority, London

    EU legislators mandated the European Banking Authority to propose a stress scenario methodology for capitalising non-modellable risk factors (NMRF) as foreseen under the Basel Fundamental Review of the Trading Book (FRTB) rules for market risk. In... more

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    EU legislators mandated the European Banking Authority to propose a stress scenario methodology for capitalising non-modellable risk factors (NMRF) as foreseen under the Basel Fundamental Review of the Trading Book (FRTB) rules for market risk. In this paper, we present the foundations of such a methodology. By design, it is universally applicable to all kinds of risk factors to which a bank may be exposed, and it caters for a wide range of data availability by adjusting the stress scenario for the number of returns observed in the calibration period. It captures non-linearities in the portfolio loss profile against changes in the NMRF, while reducing the computational effort and being simple. To motivate the values set for some parameters in the methodology, we use a set of skewed generalised 't' (SGT) distributions as a generic tool for describing a wide universe of real historical returns from all asset classes. Finally, we extend the methodology from single risk factors to segments of curves or surfaces as envisaged in the FRTB.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789292457471
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    Series: EBA staff paper series ; no 14 (July 2021)
    Subjects: Market risk; FRTB; NMRF; capital requirements for non-modellable risk factors; sampling error for the expected shortfall; SGT distributions
    Scope: 1 Online-Ressource (circa 35 Seiten), Illustrationen