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Value-at-Risk stressée chaotique d’un portefeuille bancaire

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  • Rachida Hennani
  • Michel Terraza
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    Abstract

    Les révisions des règles prudentielles définies par Bâle 2 introduisent une exigence supplémentaire dans la détermination de fonds propres par le calcul d’une VaR stressée qui doit permettre d’intégrer le comportement violent des marchés en période de crise et par conséquent de rompre la procyclicité dans l’estimation de la VaR. La prise en compte simultanée de structures chaotiques et hétéroscédastiques conduit à une amélioration des prévisions des rentabilités, soulignée notamment par KYRTSOU et TERRAZA (2003, 2004, 2010). Cette précision par rapport au modèle GARCH(1,1) est utilisée dans cet article pour la prévision d’une VaR stressée d’un portefeuille bancaire construit selon le critère moyenne-Gini. L’évaluation des prévisions de la Value-at-Risk par les tests de backtesting indiquent une surperformance du modèle Mackey-Glass-GARCH(1,1).

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    File URL: http://www.lameta.univ-montp1.fr/Documents/DR2012-23.pdf
    File Function: First version, 2012
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    Bibliographic Info

    Paper provided by LAMETA, Universtiy of Montpellier in its series Working Papers with number 12-23.

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    Length: 18 pages
    Date of creation: Sep 2012
    Date of revision: Sep 2012
    Handle: RePEc:lam:wpaper:12-23

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