Tesi di LAUREA SPECIALISTICA
TitoloL’effetto del Value-at-Risk sul rischio endogeno
Data2010-07-21
Autore/iCosso, Andrea
RelatoreBarucci, E.
Full textnon disponibile
AbstractThe present research work analyzes the main instrument on which the current financial regulation (Basel II) is based: Value-at-Risk (“VaR”). In the first part of this thesis, we consider the VaR effect on portfolio choices. In this context, we prove that, in the presence of leverage effect, if a bank uses VaR to measure its own financial assets portfolio risk, it will invest more in riskier securities rather than another bank that doesn’t use VaR. This occurs for example if a defaultable asset is negotiated in the financial market (which price evolves according to a CEV model) and the bank is less risk-averse than a log-investor. In the second part of the thesis we analyze the VaR effect on financial markets stability. As shown in this research work VaR is able to increase markets volatility, making them less stable, because it enhances the endogenous risk. We also study the impact of Tobin tax adoption on financial markets stability. The obtained results show that volatility decreases, even if the endogenous risk effect is not so weakened. Currently other risk measures are able to overcome VaR weak points as Expected Shortfall and CoVaR, that financial regulators should consider in substitution of VaR. As pointed out in the present research work, indeed, the adoption of VaR by financial institutions emphasized the recent global financial crisis.