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首页> 外文期刊>Journal of Economic Dynamics and Control >Quantifying market risk with Value-at-Risk or Expected Shortfall? - Consequences for capital requirements and model risk
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Quantifying market risk with Value-at-Risk or Expected Shortfall? - Consequences for capital requirements and model risk

机译：用风险价值或预期缺口量化市场风险？ -资本要求和模型风险的后果

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摘要

The Basel Committee on Banking Supervision recently proposed fundamental changes in the regulatory treatment of financial institutions' trading book positions. Among others, a replacement of Value-at-Risk (alpha = 0.99) by Expected Shortfall (alpha = 0.975) for the quantification of market risk is recommended. While this increases capital requirements for heavy tailed risks, its consequences for model risk related to the estimation process have not been explored. Hence, the aim of this paper is to analyze how both risk measures react to different sources of model risk in order to better understand the impact of the intended change in risk measures. Our results show that the Expected Shortfall (alpha = 0.975) is more sensitive towards regulatory arbitrage and parameter misspecification. We find that this is based on a trade-off between a model's ability to better capture the heavy tailed behavior of risks and a higher vulnerability to model risk. These new aspects should be taken into account in the regulatory decision for Expected Shortfall (alpha = 0.975). (C) 2016 Elsevier B.V. All rights reserved.
机译：巴塞尔银行监管委员会最近提出了对金融机构交易账户头寸的监管方式的根本性变化。其中，建议用预期缺口（alpha = 0.975）代替风险值（alpha = 0.99）来量化市场风险。尽管这增加了对重尾风险的资本要求，但尚未探讨其对与估计过程相关的模型风险的后果。因此，本文的目的是分析两种风险度量如何对模型风险的不同来源做出反应，以便更好地了解预期风险度量变更的影响。我们的结果表明，预期短缺（alpha = 0.975）对监管套利和参数错误指定更为敏感。我们发现这是基于模型更好地捕获风险的重尾行为的能力与模型风险的更高脆弱性之间的权衡。这些新方面应在预期短缺（alpha = 0.975）的监管决策中予以考虑。 （C）2016 Elsevier B.V.保留所有权利。

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