大阪大学　数理・データ科学教育研究センター
Center for Mathematical Modeling and Data Science,Osaka University

What Happened to Risk Management During the 2008-09 Financial Crisis?

Michael McAleer (Erasmus School of Economics, Erasmus University Rotterdam)

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4. What Happened to Risk Management During the 2008-09 Financial Crisis?

大証寄附研究部門セミナーシリーズ　第10回

What Happened to Risk Management During the 2008-09 Financial Crisis?

Michael McAleer (Erasmus School of Economics, Erasmus University Rotterdam)

When dealing with market risk under the Basel II Accord, variation pays in the form of lower capital requirements and higher profits. Typically, GARCH type models are chosen to forecast Value-at-Risk (VaR) using a single risk model. In this paper we illustrate two useful variations to the standard mechanism for choosing forecasts, namely: (i) combining different forecast models for each period, such as a daily model that forecasts the supremum or infinum value for the VaR; (ii) alternatively, select a single model to forecast VaR, and then modify the daily forecast, depending on the recent history of violations under the Basel II Accord. We illustrate these points using the Standard and Poor’s 500 Composite Index. In many cases we find significant decreases in the capital requirements, while incurring a number of violations that stays within the Basel II Accord limits.