Value at Risk as a risk measurement tool

Katarzyna Myczkowska, Antoniya Pehoeva & Marcel Kroitblat

Studenteropgave: Semesterprojekt

Abstrakt

The Global Financial Crisis of 2007 has shown that the risk measurement tools of banks and other financial institutions had failed to predict the market crash. In response to that the new Basel III regulations are trying to prevent a repetition of such a crisis. To find out how proper the Value at Risk method works as a risk measurment tool adjusted to the new regulations, we first aimed to answered the question, how successful it worked before the crisis. Therefore, we created a portfolio consisting of the 30 biggest stock companys in Germany and tested the VAR-model on four different time scenarios based on the Historical Simulation. Afterwards, we applied the latest regulations and discussed the resulting changes. Our results show that VAR is not a sufficient risk measurement tool in times of a crisis, neither with taking into concern the Basel III regulation, nor without. Thus, we believe that the law-regulations regarding risk measurment are not sufficient enough and risk managers must bear more aspects in mind that just the results of their forecast tools.

UddannelserErhvervsøkonomi, (Bachelor/kandidatuddannelse) Bachelor el. kandidat
SprogEngelsk
Udgivelsesdato23 maj 2013
VejledereJohannes Kabderian Dreyer

Emneord

  • Value at risk
  • period
  • crisis
  • data
  • VAR
  • financial
  • testing
  • risk measurement
  • market
  • bank
  • Basel
  • portfolio
  • scenario
  • DAX