Новые способы измерения катастрофических рисков: меры "VaR в степени t" и их вычисление (New Ways to Measure Catastrophic Risk: 'VAR to Degree T' Measures and Their Calculation)

26 Pages Posted: 25 Mar 2021

See all articles by Vigen Babkenovich Minasyan

Vigen Babkenovich Minasyan

Russian Presidential Academy of National Economy and Public Administration (RANEPA) - Research Laboratory of Corporate Strategies

Date Written: September 28, 2020

Abstract

Russian Abstract: Автор предлагает ввести семейство новых мер риска — «VaR в степени t». Цель работы — исследовать свойства данного семейства мер и вывести формулы для их вычисления. В исследовании использованы методы оценки финансовых рисков в виде мер риска VaR и ES. В результате предложен новый инструмент оценки катастрофических.

финансовых рисков: «VaR в степени t». Доказано, что для вычисления ( )t VaR достаточно рассчитать обычную меру риска VaR с определенным образом измененной доверительной вероятностью. Автор делает вывод, что данное семейство мер может быть полезно в практике риск-менеджмента компаний при решении задачи проникновения в риски событий с малыми вероятностями, но с катастрофическими финансовыми потерями. Результаты данного исследования также могут применяться регулятором для оценки достаточности капитала финансовых институтов.

При t > 1 эти меры риска катастрофических потерь оказываются более консервативными, чем известные меры риска VaR, ES и GlueVaR.

English Abstract: The author concludes that this family of measures can be useful in the practice of risk management of companies when solving the problem of penetration into risks of events with small probabilities, but with catastrophic financial losses. The results of this study can also be used by the regulator to assess the capital adequacy of financial institutions.

The author proposes a new family of new risk measures, "VaR to degree t." The purpose of the work is to study the properties of this measure family and to derive formulas for their calculation. The study uses existing methods of assessing financial risks in the form of risk measures VaR and proposes a new tool for assessing them. As a result, it has been proven that it is sufficient to calculate a usual VaR risk measure, with a certain manner of changed confidence probability, for the calculation. The author concludes that this family of measures can be useful in the practice of risk management of companies when solving the problem of penetration into risks of events with small probabilities, but with catastrophic financial losses. The results of this study can also be used by the regulator to assess the capital adequacy of financial institutions.

If t > 1, these measures prove to be more conservative risk measures for catastrophic losses than known risk measures for VaR, ES and GlueVaR.

Note: Downloadable document is in Russian.

Keywords: [comma sKeywords: financial institutions, financial losses, measure of risk of VaR, measure of risk of ES; VaR risk measure in square; Risk measures VaR to degree t; risk measures GlueVaR; confidential probability; distribution density of probabilities; measures of risk of distortion

JEL Classification: G11, G12, G17, G32

Suggested Citation

Minasyan, Vigen Babkenovich, Новые способы измерения катастрофических рисков: меры "VaR в степени t" и их вычисление (New Ways to Measure Catastrophic Risk: 'VAR to Degree T' Measures and Their Calculation) (September 28, 2020). Available at SSRN: https://ssrn.com/abstract=3700817 or http://dx.doi.org/10.2139/ssrn.3700817

Vigen Babkenovich Minasyan (Contact Author)

Russian Presidential Academy of National Economy and Public Administration (RANEPA) - Research Laboratory of Corporate Strategies ( email )

Moscow
Russia

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