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9 a.m. - 8 p.m.
Phone: (843) 805-6930
West Ashley Library
9 a.m. - 7 p.m.
Phone: (843) 766-6635
Folly Beach Library
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Phone: (843) 588-2001
John L. Dart Library
9 a.m. - 7 p.m.
Phone: (843) 722-7550
St. Paul's/Hollywood Library
9 a.m. - 8 p.m.
Phone: (843) 889-3300
Mt. Pleasant Library
9 a.m. – 8 p.m.
Phone: (843) 849-6161
Dorchester Road Library
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Phone: (843) 552-6466
Edgar Allan Poe/Sullivan's Island Library
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John's Island Library
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McClellanville Library
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Edisto Library
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Phone: (843) 869-2355
Wando Mount Pleasant Library
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Phone: (843) 805-6888
Otranto Road Library
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Hurd/St. Andrews Library
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NOUVELLE RÉGLEMENTATION INTERNATIONALE DU RISQUE DE MARCHÉ: RÔLES DE LA VaR ET DE LA CVaR DANS LA VALIDATION DES MODÈLES. (French)
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- Author(s): SAISSI HASSANI, Samir; DIONNE, Georges
- Source:
Assurances et Gestion des Risques; Jan2021, Vol. 87 Issue 3/4, p169-207, 39p - Source:
- Additional Information
- Abstract: Dans cette note, nous modélisons les nouveaux aspects quantitatifs de la gestion du risque de marché des banques que Bâle a décidé en 2016 et mis en vigueur en janvier 2019- Le risque de marché est mesuré par la valeur à risque conditionnelle, ou CVaR, à un degré de confiance de 97,5%. Le backtest réglementaire reste, en grande partie, basé sur la VaR à 99%. De plus, à titre de procédures statistiques supplémentaires comme suggéré par Bâle, des backtests complémentaires sur la VaR et la CVaR doivent être effectués. Nous appliquons ces tests sur différentes distributions paramétriques et utilisons des mesures non paramétriques de la CVaR, dont la CVaR- et la CVaR+ comme compléments de validation des distributions utilisées. Nos données sont relatives à une période de turbulences extrêmes des marchés. Avec huit distributions paramétriques mises à l'épreuve par ces données, nos résultats montrent que l'information obtenue sur leurs performances empiriques est très liée aux conclusions des backtests des modèles. [ABSTRACT FROM AUTHOR]
- Abstract: Copyright of Assurances et Gestion des Risques is the property of Universite Laval, Faculty of Business Administration and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)
- Abstract:
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