Saddle-point approach: backtesting VaR models in the presence of extreme losses
Autor(a) principal: | |
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Data de Publicação: | 2018 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10071/17714 |
Resumo: | The Basel Committee for Banking Supervision requires every financial institution to carry out efficient Risk Management practices, so that these are able to face adverse days in the market and, thus, avoid another potential meltdown of the financial system, such as the 'Black Monday' in 1987 or the 'Subprime' crisis in 2007. To do so, traditional backtesting techniques assess the quality of commercial banks’ risk forecasts based on the number of the exceedances. However, these backtests are not sensitive to the size of the exceedances, which could lead to inaccurate risk models to be accepted. This way, this dissertation presents the Saddle-point backtest, a size-based procedure developed by Wong (2008) that evaluates risk models through the Tail-Risk-of-VaR. This approach is believed to constitute a reliable size counterpart to the Basel II Agreements, hence deserving an important role in backtesting. However, the Saddle-point backtest shows some drawbacks regarding its application to non-parametric risk models, which is explored throughout this dissertation’s empirical analysis. |
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Saddle-point approach: backtesting VaR models in the presence of extreme lossesBacktestingValue-at-riskTime seriesRisk managementGestão do riscoModelos de riscoSéries temporaisThe Basel Committee for Banking Supervision requires every financial institution to carry out efficient Risk Management practices, so that these are able to face adverse days in the market and, thus, avoid another potential meltdown of the financial system, such as the 'Black Monday' in 1987 or the 'Subprime' crisis in 2007. To do so, traditional backtesting techniques assess the quality of commercial banks’ risk forecasts based on the number of the exceedances. However, these backtests are not sensitive to the size of the exceedances, which could lead to inaccurate risk models to be accepted. This way, this dissertation presents the Saddle-point backtest, a size-based procedure developed by Wong (2008) that evaluates risk models through the Tail-Risk-of-VaR. This approach is believed to constitute a reliable size counterpart to the Basel II Agreements, hence deserving an important role in backtesting. However, the Saddle-point backtest shows some drawbacks regarding its application to non-parametric risk models, which is explored throughout this dissertation’s empirical analysis.O Comité de Basileia para a Supervisão Bancária requer a todas as instituições financeiras que levem a cabo práticas de Gestão de Risco eficientes, de modo a que estas sejam capazes de enfrentar dias adversos no mercado e, desta forma, evitar outro eventual colapso do sistema financeiro, tal como a 'Segunda-feira Negra' em 1987 ou a crise do 'Subprime' em 2007. Para tal, as técnicas tradicionais de avaliação de modelos de risco aferem a qualidade das previsões dos bancos com base no número de excedências. No entanto, estes métodos não são sensíveis ao tamanho das excedências, o que pode levar a que modelos de risco pouco fiáveis sejam aceites. Assim sendo, esta dissertação apresenta o teste de Saddle-point, um procedimento baseado no tamanho das excedências desenvolvido por Wong (2008), que avalia modelos de risco através do Risco-da-Cauda do Valor em Risco. Crê-se que esta abordagem baseada no tamanho das excedências constitui uma fiável contraparte dos Acordos de Basileia II, merecendo, portanto, desempenhar um papel importante na avaliação de modelos de risco. No entanto, o teste de Saddle-point apresenta algumas falhas no que toca à sua aplicação a modelos de risco não paramétricos, algo que é explorado no decorrer da análise empírica desta dissertação.2019-03-25T13:39:30Z2018-10-12T00:00:00Z2018-10-122018-09info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfapplication/octet-streamhttp://hdl.handle.net/10071/17714TID:201985918engGouveia, Ricardo João da Silvainfo: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:RCAAP2023-11-09T18:00:33Zoai:repositorio.iscte-iul.pt:10071/17714Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T22:32:06.549817Repositório 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 |
Saddle-point approach: backtesting VaR models in the presence of extreme losses |
title |
Saddle-point approach: backtesting VaR models in the presence of extreme losses |
spellingShingle |
Saddle-point approach: backtesting VaR models in the presence of extreme losses Gouveia, Ricardo João da Silva Backtesting Value-at-risk Time series Risk management Gestão do risco Modelos de risco Séries temporais |
title_short |
Saddle-point approach: backtesting VaR models in the presence of extreme losses |
title_full |
Saddle-point approach: backtesting VaR models in the presence of extreme losses |
title_fullStr |
Saddle-point approach: backtesting VaR models in the presence of extreme losses |
title_full_unstemmed |
Saddle-point approach: backtesting VaR models in the presence of extreme losses |
title_sort |
Saddle-point approach: backtesting VaR models in the presence of extreme losses |
author |
Gouveia, Ricardo João da Silva |
author_facet |
Gouveia, Ricardo João da Silva |
author_role |
author |
dc.contributor.author.fl_str_mv |
Gouveia, Ricardo João da Silva |
dc.subject.por.fl_str_mv |
Backtesting Value-at-risk Time series Risk management Gestão do risco Modelos de risco Séries temporais |
topic |
Backtesting Value-at-risk Time series Risk management Gestão do risco Modelos de risco Séries temporais |
description |
The Basel Committee for Banking Supervision requires every financial institution to carry out efficient Risk Management practices, so that these are able to face adverse days in the market and, thus, avoid another potential meltdown of the financial system, such as the 'Black Monday' in 1987 or the 'Subprime' crisis in 2007. To do so, traditional backtesting techniques assess the quality of commercial banks’ risk forecasts based on the number of the exceedances. However, these backtests are not sensitive to the size of the exceedances, which could lead to inaccurate risk models to be accepted. This way, this dissertation presents the Saddle-point backtest, a size-based procedure developed by Wong (2008) that evaluates risk models through the Tail-Risk-of-VaR. This approach is believed to constitute a reliable size counterpart to the Basel II Agreements, hence deserving an important role in backtesting. However, the Saddle-point backtest shows some drawbacks regarding its application to non-parametric risk models, which is explored throughout this dissertation’s empirical analysis. |
publishDate |
2018 |
dc.date.none.fl_str_mv |
2018-10-12T00:00:00Z 2018-10-12 2018-09 2019-03-25T13:39:30Z |
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/10071/17714 TID:201985918 |
url |
http://hdl.handle.net/10071/17714 |
identifier_str_mv |
TID:201985918 |
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 application/octet-stream |
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 |
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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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1799134882430976000 |