Transcription of Stressed VaR - EIFR
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Stressed VaR - EIFR
Stressed VaRPascal Gibart EIFR 7 Feb 2012 Stressed VaR EIFR Feb 20122 Contents03 Regulatory context08 sVaR in practice17 sVaR and risk management28 Conclusion29 ReferencesStressed VaR EIFR Feb 20123 Regulatory FrameworkStressed VaR EIFR Feb 20124 Regulatory FrameworkMotivationlosses during the 2008 crisis were higher than the minimum capital requirement for many banksreduce the procyclicality of the minimum capital requirementexample for EUR/USD FX exposureVolatility 2*VaRVaR+SVaRV low8%16%28%V neutral12%24%32%V high20%40%40%Stdev0,120,06 Stressed VaR EIFR Feb 20125 Regulatory FrameworkDescription in BCBS158 article 718 (July 2009) Current portfolio Stressed market conditions to be calibrated at least once a year 99 percentile over a 10 day period Cal
Stressed VaR – EIFR Feb 2012 2 Contents 03 Regulatory context 08 sVaR in practice 17 sVaR and risk management 28 Conclusion 29 References
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INTRODUCTION TO VALUE AT RISK VaR, Risk, Backtesting Value-at-Risk Models, Value-at-Risk VaR, Economic Capital versus Regulatory capital for, Value at Risk, Non-parametric VaR techniques. Myths and, The ANZ Risk Management Framework, Filtering Historical Simulation. Backtest Analysis, Value, Risk Budgeting