VaR adjusted to business and financial cycles

Detalhes bibliográficos
Autor(a) principal: Vicente, Daniel Alberto Amaral
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.
id RCAP_a56d1db6d442c62ba57f081cea77befa
oai_identifier_str oai:run.unl.pt:10362/105988
network_acronym_str RCAP
network_name_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository_id_str 7160
spelling 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
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
repository.mail.fl_str_mv
_version_ 1799138020942675968

Registros relacionados