图 书 馆
一些风险价值模型是否会引发金融市场的不稳定？-基于Agent的金融市场视角Do some Value-at-Risk Models Provoke Financial Market Destabilization? - An Agent-Based Financial Market Perspective |
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| 课程网址: | https://videolectures.net/ccss09_hermsen_dsvarm/ |
| 主讲教师: | Oliver Hermsen |
| 开课单位: | 班贝格大学 |
| 开课时间: | 2009-07-10 |
| 课程语种: | 英语 |
| 中文简介: |  |
| 课程简介: | The aim of this paper is to explore the impact of different Value-at-Risk (VaR) models on the stability of financial markets. Based on a numerical analysis, we test how simple and more sophisticated Value-at-Risk models affect financial market stability. This is important to implement effective regulations to prevent financial market instability in advance. The Basel Committee of Banking and Supervision (BCBS) does not stipulate that banks use a special type of VaR model. Therefore, in practice, many banks use methods with quite simple assumptions. Testing the efficiency and reliability of different VaR models with different underlying assumptions was and still is an important strand of research. Here, mostly the accuracy of estimating a special quantile is exploited. In this study, we explore the adequacy of VaR models from another perspective. We adjust a heterogeneous agent model by integrating regulations of Basel II concerning market risk. For this purpose, we use the financial market model by Lux/Marchesi (1999/2000) that can replicate stylized facts of financial markets quite well. First results indicate that the formula for calculating the level of regulatory capital for market risk prescribed by the BCBS prohibits more market stability by the use of more sophisticated models. |
| 关 键 词: | 风险价值模型; 金融市场; 股票市场 |
| 课程来源: | 视频讲座网 |
| 数据采集: | 2023-12-01：liyq |
| 最后编审: | 2023-12-01：liyq |
| 阅读次数: | 12 |