New Ways to Measure Catastrophic Financial Risks: “<i>VaR</i> to the power of <i> t</i>” Measures and How to Calculate Them
The work introduces a family of new risk measures, “VaR to the power of t”. The aim of the work is to study the properties of this family of measures and to derive formulas to calculate them. The study used methods for assessing financial risks by risk measures VaR and ES. As a result, the author pr...
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| Format: | Article |
| Language: | Russian |
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Government of the Russian Federation, Financial University
2020-06-01
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| Series: | Финансы: теория и практика |
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| Online Access: | https://financetp.fa.ru/jour/article/view/1012 |
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| _version_ | 1849242255613755392 |
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| author | V. B. Minasyan |
| author_facet | V. B. Minasyan |
| author_sort | V. B. Minasyan |
| collection | DOAJ |
| description | The work introduces a family of new risk measures, “VaR to the power of t”. The aim of the work is to study the properties of this family of measures and to derive formulas to calculate them. The study used methods for assessing financial risks by risk measures VaR and ES. As a result, the author proposed a new tool to measure catastrophic financial risks — “VaR to the power of t”. The study proved that for the measuring, it is sufficient to calculate the common risk measure VaR with the confidence probability changed in a certain way. The author concludes that this family of measures should find application in solving the problem of penetrating risk events with low probabilities, but with catastrophic financial losses. The study results may be of use to the regulator to assess the capital adequacy of financial institutions. If t > 1, these measures prove to be more conservative risk measures of catastrophic losses than the known risk measures VaR, ES and GlueVaR. |
| format | Article |
| id | doaj-art-03c47a4b8ac540a2bb88c28ed6d352b1 |
| institution | Kabale University |
| issn | 2587-5671 2587-7089 |
| language | Russian |
| publishDate | 2020-06-01 |
| publisher | Government of the Russian Federation, Financial University |
| record_format | Article |
| series | Финансы: теория и практика |
| spelling | doaj-art-03c47a4b8ac540a2bb88c28ed6d352b12025-08-20T03:59:53ZrusGovernment of the Russian Federation, Financial UniversityФинансы: теория и практика2587-56712587-70892020-06-012439210910.26794/2587-5671-2020-24-3-92-109782New Ways to Measure Catastrophic Financial Risks: “<i>VaR</i> to the power of <i> t</i>” Measures and How to Calculate ThemV. B. Minasyan0Higher School of Finance and Management, Russian Presidential Academy of National Economy and Public AdministrationThe work introduces a family of new risk measures, “VaR to the power of t”. The aim of the work is to study the properties of this family of measures and to derive formulas to calculate them. The study used methods for assessing financial risks by risk measures VaR and ES. As a result, the author proposed a new tool to measure catastrophic financial risks — “VaR to the power of t”. The study proved that for the measuring, it is sufficient to calculate the common risk measure VaR with the confidence probability changed in a certain way. The author concludes that this family of measures should find application in solving the problem of penetrating risk events with low probabilities, but with catastrophic financial losses. The study results may be of use to the regulator to assess the capital adequacy of financial institutions. If t > 1, these measures prove to be more conservative risk measures of catastrophic losses than the known risk measures VaR, ES and GlueVaR.https://financetp.fa.ru/jour/article/view/1012risk measure varrisk measure esrisk measure var squared: <i><strong>var</strong><sup>(2)</sup></i>risk measures <i>var</i> to the <i>t</i> power: <i><strong>var</strong><sup>(t)</sup></i>risk measures gluevarconfidence probabilityprobability density distributiondistortion risk measuresrisk appetitesubadditivitytails of distribution |
| spellingShingle | V. B. Minasyan New Ways to Measure Catastrophic Financial Risks: “<i>VaR</i> to the power of <i> t</i>” Measures and How to Calculate Them Финансы: теория и практика risk measure var risk measure es risk measure var squared: <i><strong>var</strong><sup>(2)</sup></i> risk measures <i>var</i> to the <i>t</i> power: <i><strong>var</strong><sup>(t)</sup></i> risk measures gluevar confidence probability probability density distribution distortion risk measures risk appetite subadditivity tails of distribution |
| title | New Ways to Measure Catastrophic Financial Risks: “<i>VaR</i> to the power of <i> t</i>” Measures and How to Calculate Them |
| title_full | New Ways to Measure Catastrophic Financial Risks: “<i>VaR</i> to the power of <i> t</i>” Measures and How to Calculate Them |
| title_fullStr | New Ways to Measure Catastrophic Financial Risks: “<i>VaR</i> to the power of <i> t</i>” Measures and How to Calculate Them |
| title_full_unstemmed | New Ways to Measure Catastrophic Financial Risks: “<i>VaR</i> to the power of <i> t</i>” Measures and How to Calculate Them |
| title_short | New Ways to Measure Catastrophic Financial Risks: “<i>VaR</i> to the power of <i> t</i>” Measures and How to Calculate Them |
| title_sort | new ways to measure catastrophic financial risks i var i to the power of i t i measures and how to calculate them |
| topic | risk measure var risk measure es risk measure var squared: <i><strong>var</strong><sup>(2)</sup></i> risk measures <i>var</i> to the <i>t</i> power: <i><strong>var</strong><sup>(t)</sup></i> risk measures gluevar confidence probability probability density distribution distortion risk measures risk appetite subadditivity tails of distribution |
| url | https://financetp.fa.ru/jour/article/view/1012 |
| work_keys_str_mv | AT vbminasyan newwaystomeasurecatastrophicfinancialrisksivaritothepowerofitimeasuresandhowtocalculatethem |