On measures of financial risk

Conference paper

Novak, S. 2015. On measures of financial risk. International Conference on Risk Analysis ICRA 6 / RISK 2015. Barcelona, Spain 26 - 29 May 2015 FUNDACIÓN MAPFRE. pp. 541-550
TypeConference paper
TitleOn measures of financial risk
AuthorsNovak, S.
Abstract

Traditional measures of financial risk (e.g., the standard deviation, Value-at- Risk (VaR), conditional Value-at-Risk (CVaR)) are widely used by banks when deciding on the amount of capital they need to set aside in order to offset the market risk. However, the traditional risk measures appear static; they barely change with the inflow of new data. Dynamic risk measures look capable of indicating increased risk on the eve of a sharp market movement. However, they swing too widely to be used when deciding on the amount of the capital reserve.
We argue that a combination of static and dynamic risk measures may serve the purpose, staying conservative in normal situations and suggesting the increase of the amount of the capital reserve during volatile periods.

ConferenceInternational Conference on Risk Analysis ICRA 6 / RISK 2015
Page range541-550
ISBN
Hardcover9788498444964
PublisherFUNDACIÓN MAPFRE
Publication dates
Print01 Dec 2015
Publication process dates
Deposited12 Sep 2016
Accepted01 Oct 2015
Output statusPublished
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Web address (URL)https://www.fundacionmapfre.org/documentacion/publico/en/catalogo_imagenes/grupo.cmd?path=1083273
LanguageEnglish
Book titleCurrent Topics on Risk Analysis: ICRA 6 and RISK 2015 Conference
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