VaR adjusted to business and financial cycles
Autor(a) principal: | |
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Data de Publicação: | 2020 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10362/105988 |
Resumo: | Value-at-Risk is an important risk measurement tool. However, since the Subprime crisis there have been claims that it is an ineffective measure of risk. This paper shows that VaR breaks occur much more often in periods of recessions compared to expansions. By using business and financial cycle theory, an economic indicator (MOI) was created to assess when the economy was approaching a recession. Using the MOI indicator, several models were created to adjust the volatility according to business cycle conditions. Results confirm the effectiveness of using volatility adjusted to business and financial cycles as an input for a VaR model. |
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VaR adjusted to business and financial cyclesValue-at-riskBusiness cyclesVolatility modelsAdjusted volatilityDomínio/Área Científica::Ciências Sociais::Economia e GestãoValue-at-Risk is an important risk measurement tool. However, since the Subprime crisis there have been claims that it is an ineffective measure of risk. This paper shows that VaR breaks occur much more often in periods of recessions compared to expansions. By using business and financial cycle theory, an economic indicator (MOI) was created to assess when the economy was approaching a recession. Using the MOI indicator, several models were created to adjust the volatility according to business cycle conditions. Results confirm the effectiveness of using volatility adjusted to business and financial cycles as an input for a VaR model.Ribeiro, Gonçalo SommerRUNVicente, Daniel Alberto Amaral2020-10-21T12:53:29Z2020-01-222020-01-032020-01-22T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/105988TID:202494764enginfo: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:RCAAP2024-03-11T04:51:14Zoai:run.unl.pt:10362/105988Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:40:39.238698Repositório 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 |
VaR adjusted to business and financial cycles |
title |
VaR adjusted to business and financial cycles |
spellingShingle |
VaR adjusted to business and financial cycles Vicente, Daniel Alberto Amaral Value-at-risk Business cycles Volatility models Adjusted volatility Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
title_short |
VaR adjusted to business and financial cycles |
title_full |
VaR adjusted to business and financial cycles |
title_fullStr |
VaR adjusted to business and financial cycles |
title_full_unstemmed |
VaR adjusted to business and financial cycles |
title_sort |
VaR adjusted to business and financial cycles |
author |
Vicente, Daniel Alberto Amaral |
author_facet |
Vicente, Daniel Alberto Amaral |
author_role |
author |
dc.contributor.none.fl_str_mv |
Ribeiro, Gonçalo Sommer RUN |
dc.contributor.author.fl_str_mv |
Vicente, Daniel Alberto Amaral |
dc.subject.por.fl_str_mv |
Value-at-risk Business cycles Volatility models Adjusted volatility Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
topic |
Value-at-risk Business cycles Volatility models Adjusted volatility Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
description |
Value-at-Risk is an important risk measurement tool. However, since the Subprime crisis there have been claims that it is an ineffective measure of risk. This paper shows that VaR breaks occur much more often in periods of recessions compared to expansions. By using business and financial cycle theory, an economic indicator (MOI) was created to assess when the economy was approaching a recession. Using the MOI indicator, several models were created to adjust the volatility according to business cycle conditions. Results confirm the effectiveness of using volatility adjusted to business and financial cycles as an input for a VaR model. |
publishDate |
2020 |
dc.date.none.fl_str_mv |
2020-10-21T12:53:29Z 2020-01-22 2020-01-03 2020-01-22T00:00:00Z |
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/10362/105988 TID:202494764 |
url |
http://hdl.handle.net/10362/105988 |
identifier_str_mv |
TID:202494764 |
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 |
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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 |
repository.mail.fl_str_mv |
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1799138020942675968 |