ارزش مدل های ریسک و عوارض سرمایه بازل: شواهدی از بازارهای سهام مرزی و نوظهور

In the wake of the subprime crisis of 2007 which uncovered shortfalls in capital levels of most financial institutions, the Basel Committee planned to strengthen current regulations contained in Basel II. While maintaining the Internal Model Approach based on Value-at-Risk, a stressed VaR calculated over highly strung periods is to be added to present directives to constitute Minimum Capital Requirements. Consequently, the adoption of the appropriate VaR specification remains a subject of paramount importance as it determines the financial condition of the firm. 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.

The world financial system has undergone one of its most severe crisis in 2007–2008. Several factors acted simultaneously to ignite turmoil with devastating consequences felt all over the globe as a consequence of the interconnectedness of the national economies. One of the relevant effects brought about by the catastrophe has been represented by the inability of the banks to meet market losses: capital was insufficiently constituted to provide coverage for unexpected adverse events. The shortage was of such an extent that many institutions had to be bailed out by governments at the expense of the taxpayers’ resources; although this action averted a complete deadlock in capital markets, it simultaneously introduced elements like moral hazard and subsidies.

The evidence collected appears enough to discard Linear models, HS and FHS. Although the standard deviation for Linear models is allowed to change in time, it is unable to capture the dynamics of the latent volatility. No improvement is virtually recorded employing a heavy-tailed t distribution instead of the Normal one as the underlying risk measure is inherently flawed. HS reaffirms all the disadvantages mentioned in Section 2.2.1, for example, last VaR overcoming 60-day VaR average in Hungary reveals the presence of the Ghost or Shadow effect. Usage of the empirical distribution of residuals in FHS delivers only slight gains in some Emerging markets (t distribution), albeit in overall it remains ineffective