Market Risk Measurement

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Campo DC	Valore
dc.identifier	ECF_chapter_4168
dc.contributor.author	Lazar Emese
dc.contributor.author	Zhang Ning
dc.title	Market Risk Measurement. Preliminary Lessons from the COVID-19 Crisis
dc.type	Capitolo
dc.language.iso	en
dc.description.abstract	This chapter presents a preliminary analysis on how some market risk measures dramatically increased during the COVID-19 pandemic, with measures computed over longer horizons experiencing more pronounced effects. We provide examples when regulatory market risk measurement proved to be suboptimal, overestimating risk. A further issue was the large number of Value-at-Risk ‘exceptions’ during the first few months of the crisis, which normally leads to overinflated bank capital requirements. The current regulatory framework should address these problems by suggesting improvements to the calculation of risk measures and/or by modifying the rules which determine capital requirements to make them appropriate and realistic in crisis situations.
dc.relation.ispartof	Innovation in Business, Economics & Finance
dc.publisher	Edizioni Ca’ Foscari - Digital Publishing, Fondazione Università Ca’ Foscari
dc.issued	2020-07-31
dc.dateAccepted	2020-06-30
dc.dateSubmitted	2020-06-03
dc.identifier.uri	http://edizionicafoscari.it/it/edizioni4/libri/978-88-6969-443-1/market-risk-measurement/
dc.identifier.doi	10.30687/978-88-6969-442-4/007
dc.identifier.eissn	2784-8574
dc.identifier.isbn
dc.identifier.eisbn	978-88-6969-442-4
dc.rights	Creative Commons Attribution 4.0 International Public License
dc.rights.uri	http://creativecommons.org/licenses/by/4.0/
item.fulltext	with fulltext
item.grantfulltext	open
dc.peer-review	yes
dc.subject	Basel
dc.subject	Basel
dc.subject	Expected Shortfall
dc.subject	Expected Shortfall
dc.subject	Market risk
dc.subject	Market risk
dc.subject	Measurement
dc.subject	Measurement
dc.subject	Regulation
dc.subject	Regulation
dc.subject	Value-at-Risk
dc.subject	Value-at-Risk

Capitolo
open access peer reviewed

Market Risk Measurement

Preliminary Lessons from the COVID-19 Crisis

Emese Lazar ICMA Centre, Henley Business School, University of Reading, UK

Ning Zhang ICMA Centre, Henley Business School, University of Reading, UK

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abstract

This chapter presents a preliminary analysis on how some market risk measures dramatically increased during the COVID-19 pandemic, with measures computed over longer horizons experiencing more pronounced effects. We provide examples when regulatory market risk measurement proved to be suboptimal, overestimating risk. A further issue was the large number of Value-at-Risk ‘exceptions’ during the first few months of the crisis, which normally leads to overinflated bank capital requirements. The current regulatory framework should address these problems by suggesting improvements to the calculation of risk measures and/or by modifying the rules which determine capital requirements to make them appropriate and realistic in crisis situations.

Pubblicato

31 Luglio 2020

Accettato

30 Giugno 2020

Presentato

03 Giugno 2020

Lingua

ISBN (EBOOK)

978-88-6969-442-4

Keywords: Expected Shortfall • Market risk • Value-at-Risk • Regulation • Basel • Measurement

permalink: http://doi.org/10.30687/978-88-6969-442-4/007

Copyright: © 2020 Emese Lazar, Ning Zhang. This is an open-access work distributed under the terms of the Creative Commons Attribution License (CC BY). The use, distribution or reproduction is permitted, provided that the original author(s) and the copyright owner(s) are credited and that the original publication is cited, in accordance with accepted academic practice. The license allows for commercial use. No use, distribution or reproduction is permitted which does not comply with these terms.

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