Value-at-risk and the global financial crisis

被引:2
|
作者
Manh Ha Tran [1 ]
Ngoc Mai Tran [1 ]
机构
[1] Banking Acad Vietnam, 12 Chua Boc St, Hanoi 100000, Vietnam
来源
JOURNAL OF RISK MODEL VALIDATION | 2023年 / 17卷 / 01期
关键词
value-at-risk (VaR); commercial bank; financial crisis; market risk; backtesting; EXTREME-VALUE THEORY; MODELS;
D O I
10.21314/JRMV.2022.030
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
Using daily data for seven large international banks, we examine the forecasting ability of bank value-at-risk (VaR) estimates around the 2007-9 global financial crisis (GFC) period. We find that the banks' internal VaR estimates are very inaccurate. They systematically overstated VaR during the pre- and postcrisis periods, with mixed performance during the GFC. Some banks inflated their VaRs, while others experienced excessive VaR exceptions and clustering. VaR estimates based on simple models of generalized autoregressive conditional heteroscedasticity (GARCH) type easily outperform internal VaR estimates. The VaR estimated via a GARCH-t distribution captures the extreme losses reasonably well. We attribute the poor VaR estimates at banks to the banks' inappropriate choice of internal VaR models.
引用
收藏
页码:41 / 83
页数:43
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