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Displaying results 1 to 3 of 3.

  1. Précisions importantes sur le backtesting comparatif de la VaR
    Author: Hassani, Samir Saissi
    Published: [2022]
    Publisher:  [Canada Research Chair in Risk Management], [Montréal]

    Access:
    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 631
    Inter-library loan:
    No inter-library loan
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    Source: Union catalogues
    Language: French
    Media type: Book
    Format: Online
    Series: [Working papers] / [Canada Research Chair in Risk Management] ; [21, 5]
    Subjects: Value at Risk; market risk; Basel settlements; standard backtesting; comparative backtesting; score functions; unconditional coverage; conditional coverage
    Scope: 1 Online-Ressource (circa 50 Seiten), Illustrationen
  2. Asymmetric semi-volatility spillover in a nonlinear model of interacting markets
    Author: Campisi, Giovanni; Muzzioli, Silvia
    Published: January 2022
    Publisher:  nUnimore, Università degli studi di Modena e Reggio Emilia, Dipartimento di economia Marco Biagi, [Modena]

    Access:
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 654
    Inter-library loan:
    No inter-library loan
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: DEMB working paper series ; n. 201
    Subjects: spillover effects; market risk; asymmetric semi-volatility; numerical simulations
    Scope: 1 Online-Ressource (circa 9 Seiten), Illustrationen
  3. Evaluating market risk from leveraged derivative exposures
    Author: Jukonis, Audrius
    Published: [2022]
    Publisher:  European Central Bank, Frankfurt am Main, Germany

    Market participants use leveraged derivatives to gain access to equity market exposure through broker banks. Leverage and interconnectedness via overlapping portfolios of dealer banks can amplify adverse market movements, potentially causing sizeable... more

    Access:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)
    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 534
    Inter-library loan:
    No inter-library loan

     

    Market participants use leveraged derivatives to gain access to equity market exposure through broker banks. Leverage and interconnectedness via overlapping portfolios of dealer banks can amplify adverse market movements, potentially causing sizeable losses. I propose a model, based on granular data, to simulate losses from a banks' trading book in case of an adverse market scenario. Following a move in asset prices, banks mark their positions and issue margin calls; some (leveraged) counterparties fail to pay their margins, forcing banks to liquidate their positions causing a pressure on asset prices due to market impact. The impact is amplified because of the leverage and when counterparties are exposed to multiple banks over the same underlying. I employ the model to assess current capital and margin rules in covering risks from broker's exposure to highly leveraged clients.

     
    Export to reference management software   RIS file
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789289953092
    Other identifier:
    hdl: 10419/269129
    Series: Working paper series / European Central Bank ; no 2722 (September 2022)
    Subjects: EMIR; market risk; leverage; Initial margin; Variation margin
    Scope: 1 Online-Ressource (circa 27 Seiten), Illustrationen