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Value-at-Risk Models and Basel Capital Charges: Evidence fromEmerging and Frontier Stock Markets
Company: Journal of Financial Stability
Company Url: Click here to open
Year Of Publication: 2012
Month Of Publication: January
Resource Link: Click here to open
Pages: 303-319
Download Count: 0
View Count: 1390
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 1-2-2012
Publisher: Administrator
Summary
In this article I explore the performance of several models to compute MCR in the context of Emerging and Frontier stock markets within the present and proposed capital structures. Considering the evidence gathered, two major contributions arise: (a) heavy-tailed distributions – particularly Extreme Value (EV) ones-, reveal as the most accurate technique to model market risks, hence preventing huge capital deficits under current measures; (b) the application of such methods could allow slight modifications to present mandate and simultaneously avoid sVaR or at least reduce its scope, thus mitigating the impact regarding the enhancement of capital base. Therefore, I suggest that the inclusion of EV in planned supervisory accords should reduce development costs and foster healthier financial structures.
(volume 8, number 4)
Author(s)
Rossignolo, Adrián Sign in to follow this author
Shaban, Mohamed Sign in to follow this author
Fethi, Meryem Duygun Sign in to follow this author
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