Advanced Search
MyIDEAS: Login to save this article or follow this journal

Econometric Models Used For Managing The Market Risk In The Romanian Banking System

Contents:

Author Info

  • Ioan Trenca

    ()
    (Faculty of Economics and Business Administration Babeş-Bolyai University Cluj-Napoca, Romania)

  • Simona Mutu

    ()
    (Faculty of Economics and Business Administration Babeş-Bolyai University Cluj-Napoca, Romania)

  • Nicolae Petria

    ()
    (Faculty of Economics Lucian-Blaga University Sibiu, Romania)

Abstract

Taking into account that one of the most important factors which have caused the financial crisis was the bad risk management practices in banks we want to confirm the need to develop more efficient risk management practices. The fact that return distributions are characterized by time varying vola- tility poses some challenges in the estimation, especially in the period of severe financial crisis. In order to remedy this problem we propose the Extreme Value Theory as an alternative to VaR for quan- tifying the banks’ exposures to interest rate risk. EVT models are more robust to fat-tailedness in the conditional distribution of returns and are preferred in the modeling of interest rate risk in periods with extreme variations. Finally, we assess the performance of the model analyzing the interest rate risk on the Romanian inter-bank market by measures that address its conservativeness, accuracy and efficiency, in the context of Basel II principles.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://anale.feaa.uaic.ro/anale/resurse/2011SEfin5trenca.pdf
Download Restriction: no

File URL: http://anale.feaa.uaic.ro/anale/ro/Arhiva%202011SE-Trenca_Mutu_Petria/436
Download Restriction: no

Bibliographic Info

Article provided by Alexandru Ioan Cuza University, Faculty of Economics and Business Administration in its journal Analele Stiintifice ale Universitatii "Alexandru Ioan Cuza" din Iasi.

Volume (Year): 2011SE (2011)
Issue (Month): (july)
Pages: 115-123

as in new window
Handle: RePEc:aic:journl:y:2011:v:se:p:115-123

Contact details of provider:
Postal: Universitatea Al. I. Cuza; B-dul Carol I nr. 22; Iasi
Phone: 004 0232 201070
Fax: 004 0232 217000
Email:
Web page: http://anale.feaa.uaic.ro/anale/
More information through EDIRC

Related research

Keywords: value at risk; time varying volatility; interest rate risk; extreme value theory;

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. McNeil, Alexander J. & Frey, Rudiger, 2000. "Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 271-300, November.
  2. Dowd, Kevin, 2000. "Adjusting for risk:: An improved Sharpe ratio," International Review of Economics & Finance, Elsevier, vol. 9(3), pages 209-222, July.
  3. Hasan, Iftekhar & Zazzara, Cristiano, 2006. "Pricing risky bank loans in the new Basel II environment," Research Discussion Papers 3/2006, Bank of Finland.
  4. Julia Schaumburg, 2010. "Predicting extreme VaR: Nonparametric quantile regression with refinements from extreme value theory," SFB 649 Discussion Papers SFB649DP2010-009, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:aic:journl:y:2011:v:se:p:115-123. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sireteanu Napoleon-Alexandru).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.