Value-at-Risk : empirical evolution and impact on informativeness
Autor(a) principal: | |
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Data de Publicação: | 2019 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.14/30481 |
Resumo: | Value-at-Risk (VaR), defined as the maximum expected loss for a certain portfolio at a target timeframe, given a certain confidence level, prevailed as the keystone indicator for market risk in the banking industry. Considering it is a generally accepted indicator among stakeholders, it is crucial to understand whether it provides an adequate level of informativeness. Since the late nineties, it started being integrated in the quarterly and annual reports of banks, being nowadays a mandatory regulatory disclosure. This stated, the relationship between the trading VaR and the subsequent variation in trading revenues of a sample of large banks was investigated. The results suggest that VaR has predictive power over succeeding volatility in trading revenues, presenting satisfactory informativeness for stakeholders. This confirms the investigation with no precedent performed by Jorion (2002), which served as starting point for the current investigation. Moreover, the VaR predictive power increased since the previous study, which provides evidence that the industry accommodated the many empirical evolutions reached in the VaR calculation domain over the past years. |
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Value-at-Risk : empirical evolution and impact on informativenessValue-at-RiskInformativenessEmpirical evolutionMarket riskReportingBasel CommitteeCapacidade informativaEvolução empíricaRisco de mercadoReporteDomínio/Área Científica::Ciências Sociais::Economia e GestãoValue-at-Risk (VaR), defined as the maximum expected loss for a certain portfolio at a target timeframe, given a certain confidence level, prevailed as the keystone indicator for market risk in the banking industry. Considering it is a generally accepted indicator among stakeholders, it is crucial to understand whether it provides an adequate level of informativeness. Since the late nineties, it started being integrated in the quarterly and annual reports of banks, being nowadays a mandatory regulatory disclosure. This stated, the relationship between the trading VaR and the subsequent variation in trading revenues of a sample of large banks was investigated. The results suggest that VaR has predictive power over succeeding volatility in trading revenues, presenting satisfactory informativeness for stakeholders. This confirms the investigation with no precedent performed by Jorion (2002), which served as starting point for the current investigation. Moreover, the VaR predictive power increased since the previous study, which provides evidence that the industry accommodated the many empirical evolutions reached in the VaR calculation domain over the past years.O Value-at-Risk (VaR), definido como a perda máxima esperada para um certo portefólio, para um determinado espectro temporal e nível de confiança, prevaleceu enquanto pilar para a mensuração de risco de mercado no setor financeiro. Tendo em conta que se trata de um indicador globalmente aceite entre as partes interessadas, é fulcral entender a adequação da sua capacidade informativa. Desde o final dos anos 90, o VaR passou a ser integrado nos reportes trimestrais e anuais publicados pelos bancos, sendo atualmente matéria de divulgação regulatória obrigatória. Neste sentido, foi investigada a relação entre o VaR da carteira de negociação dos bancos e as variações subsequentes ao nível da receita proveniente da negociação. Os resultados sugerem que o VaR tem capacidade explicativa sob a volatilidade posteriormente experienciada nas receitas de negociação, apresentando uma capacidade informativa satisfatória para as partes interessadas. Tal confirma a investigação sem precedentes de Jorion (2002), que serviu de base à corrente investigação. Acrescente-se ainda que se registou um aumento da capacidade explicativa do VaR desde o estudo anterior, emergindo evidências de que o setor acomodou as inúmeras evoluções empíricas que se foram registando ao nível do cálculo do VaR.Cunha, Manuel Ricardo Fontes daVeritati - Repositório Institucional da Universidade Católica PortuguesaAbrunhosa, Sofia Jerónimo2020-04-30T08:27:23Z2019-11-2720192019-11-27T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10400.14/30481TID:202458032enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-07-12T17:35:58Zoai:repositorio.ucp.pt:10400.14/30481Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T18:24:30.642322Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Value-at-Risk : empirical evolution and impact on informativeness |
title |
Value-at-Risk : empirical evolution and impact on informativeness |
spellingShingle |
Value-at-Risk : empirical evolution and impact on informativeness Abrunhosa, Sofia Jerónimo Value-at-Risk Informativeness Empirical evolution Market risk Reporting Basel Committee Capacidade informativa Evolução empírica Risco de mercado Reporte Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
title_short |
Value-at-Risk : empirical evolution and impact on informativeness |
title_full |
Value-at-Risk : empirical evolution and impact on informativeness |
title_fullStr |
Value-at-Risk : empirical evolution and impact on informativeness |
title_full_unstemmed |
Value-at-Risk : empirical evolution and impact on informativeness |
title_sort |
Value-at-Risk : empirical evolution and impact on informativeness |
author |
Abrunhosa, Sofia Jerónimo |
author_facet |
Abrunhosa, Sofia Jerónimo |
author_role |
author |
dc.contributor.none.fl_str_mv |
Cunha, Manuel Ricardo Fontes da Veritati - Repositório Institucional da Universidade Católica Portuguesa |
dc.contributor.author.fl_str_mv |
Abrunhosa, Sofia Jerónimo |
dc.subject.por.fl_str_mv |
Value-at-Risk Informativeness Empirical evolution Market risk Reporting Basel Committee Capacidade informativa Evolução empírica Risco de mercado Reporte Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
topic |
Value-at-Risk Informativeness Empirical evolution Market risk Reporting Basel Committee Capacidade informativa Evolução empírica Risco de mercado Reporte Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
description |
Value-at-Risk (VaR), defined as the maximum expected loss for a certain portfolio at a target timeframe, given a certain confidence level, prevailed as the keystone indicator for market risk in the banking industry. Considering it is a generally accepted indicator among stakeholders, it is crucial to understand whether it provides an adequate level of informativeness. Since the late nineties, it started being integrated in the quarterly and annual reports of banks, being nowadays a mandatory regulatory disclosure. This stated, the relationship between the trading VaR and the subsequent variation in trading revenues of a sample of large banks was investigated. The results suggest that VaR has predictive power over succeeding volatility in trading revenues, presenting satisfactory informativeness for stakeholders. This confirms the investigation with no precedent performed by Jorion (2002), which served as starting point for the current investigation. Moreover, the VaR predictive power increased since the previous study, which provides evidence that the industry accommodated the many empirical evolutions reached in the VaR calculation domain over the past years. |
publishDate |
2019 |
dc.date.none.fl_str_mv |
2019-11-27 2019 2019-11-27T00:00:00Z 2020-04-30T08:27:23Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.14/30481 TID:202458032 |
url |
http://hdl.handle.net/10400.14/30481 |
identifier_str_mv |
TID:202458032 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799131956925956096 |