SciELO - Scientific Electronic Library Online

 
vol.19 número1Comparing the power and influence of functional managers with that of project managers in matrix organisations: The challenge in duality of commandChallenges with the financial reporting of biological assets by public entities in South Africa índice de autoresíndice de assuntospesquisa de artigos
Home Pagelista alfabética de periódicos  

Serviços Personalizados

Artigo

Indicadores

Links relacionados

  • Em processo de indexaçãoCitado por Google
  • Em processo de indexaçãoSimilares em Google

Compartilhar


South African Journal of Economic and Management Sciences

versão On-line ISSN 2222-3436
versão impressa ISSN 1015-8812

Resumo

VISSER, Dirk  e  VAN VUUREN, Gary. Trading book risk metrics: A South African perspective. S. Afr. j. econ. manag. sci. [online]. 2016, vol.19, n.1, pp.118-138. ISSN 2222-3436.  http://dx.doi.org/10.17159/2222-3436/2016/V19N1A8.

The regulatory market risk metric - Value at Risk - has remained virtually unchanged since its introduction by JP Morgan in 1996. Many prominent examples of market risk underestimation have undermined the credibility of VaR, prompting the search for better, more robust measures. Expected shortfall and procyclical capital buffers have been proposed by regulatory authorities, but neither is without problems. Bubble VaR -a coherent measure which avoids many of the pitfalls to which other measures have succumbed - was designed to be both forward-looking and countercyclical. Although tested on other markets, here it is applied to various South African prices and the results compared with both international observations and other market risk measures. Bubble VaR is found to perform consistently and reliably under all market conditions.

Palavras-chave : value at risk; bubble VaR; expected shortfall; procyclical; trading book.

        · texto em Inglês     · Inglês ( pdf )