Detecting Risk Transfer in Financial Markets using Different Risk Measures

• Autorzy: Marcin Fałdziński , Magdalena Osińska , Tomasz Zdanowicz
• Języki publikacji: EN

Abstrakty

EN

High movements of asset prices constitute intrinsic elements of financial crises. There is a common agreement that extreme events are responsible for that. Making inference about the risk spillover and its effect on markets one should use such methods and tools that can fit properly for catastrophic events. In the paper Extreme Value Theory (EVT) invented particularly for modelling extreme events was used. The purpose of the paper is to model risky assets using EVT and to analyse the transfer of risk across the financial markets all over the world using the Granger causality in risk test. The concept of testing in causality in risk was extended to Spectral Risk Measure i.e., respective hypotheses were constructed and checked by simulation. The attention is concentrated on the Chinese financial processes and their relations with those in the rest of the globe. The original idea of the Granger causality in risk assumes usage of Value at Risk as a risk measure. We extended the scope of application of the test to Expected Shortfall and Spectral Risk Measure. The empirical results exhibit very interesting dependencies. (original abstract)

Słowa kluczowe

EN

Financial risk; Risk measures; Extreme Values Theory (EVT)

PL

Ryzyko finansowe; Pomiar ryzyka; Teoria wartości ekstremalnych

• Czasopismo: Central European Journal of Economic Modelling and Econometrics (CEJEME)
• Rocznik: 2012
• Tom: 4
• Numer: nr 1
• Strony: 45--64

Twórcy

autor

Marcin Fałdziński

• Nicolaus Copernicus University in Toruń, Poland

autor

Magdalena Osińska

• Nicolaus Copernicus University in Toruń, Poland

autor

Tomasz Zdanowicz

• Nicolaus Copernicus University in Toruń, Poland

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Identyfikatory

DOI

DOI: 10.24425/cejeme.2012.119275