基于敏感性的方法与FRTB下市场风险的预期缺口:对期权风险资本的影响

Carlos Alexander Grajales, Santiago Medina Hurtado
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引用次数: 1

摘要

本文在巴塞尔发布并将于2023年生效的新的交易簿基本审查(FRTB)法规下衡量不同市场风险对期权投资组合的影响。本文首先提出了一种算法,通过基于敏感性的方法来实现FRTB标准化方法,以估计投资组合的风险资本,并给出了一个应用于期权头寸的例子。其次,提出了一种基于FRTB内部模型的期权投资组合预期缺口估计方法。在这方面,我们开发了一个应用程序,通过考虑2007-9年和2020-1年危机的压力情景和回测程序,来衡量FRTB下的预期缺口(ES)和风险价值(VaR)对货币期权头寸的影响。该算法通过基于敏感性的方法令人满意地捕获了影响,新兴经济体预计会有更高的风险资本需求。此外,计划的FRTB方法测量ES和VaR是合适的;特别是,历史指标表现良好。令人惊讶的是,在2020-1年的大流行危机中,它们所揭示的影响比2007-9年的金融危机更为严重。所提出的建议在FRTB监管的标准化和内部方法之间建立了沟通桥梁,可以在技术和制度上扩大规模。
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Sensitivities-based method and expected shortfall for market risk under FRTB: its impact on options risk capital
Purpose This paper measures different market risk impacts on options portfolios under the new Fundamental Review of the Trading Book (FRTB) regulation, issued in Basel and coming into effect in 2023. Design/methodology/approach This paper first suggests an algorithm for implementing the FRTB standardised approach via the sensitivities-based method to estimate a portfolio's risk capital and presents an illustration applied to an option position. Second, it proposes a methodology to estimate the expected shortfall in options portfolios from the FRTB internal models approach. In this regard, an application is developed to measure expected shortfall (ES) and value at risk (VaR) impacts under FRTB versus conventional VaR in a currency option position by considering stress scenarios from the 2007–9 and 2020–1 crises and back-testing procedures. Findings The suggested algorithm satisfactorily captures impacts via the sensitivities-based method, and higher risk capital demands are expected for emerging economies. Also, the planned FRTB methodology to measure ES and VaR is appropriate; in particular, historical metrics perform well. Astonishingly, their revealed impacts are more significant under the 2020–1 pandemic crisis than the 2007–9 financial crisis. Originality/value The proposals developed weave a communication bridge between the standardised and internal approaches of FRTB regulation, which can be scaled up technologically and institutionally.
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来源期刊
Journal of Economics, Finance and Administrative Science
Journal of Economics, Finance and Administrative Science Economics, Econometrics and Finance-Economics, Econometrics and Finance (all)
CiteScore
5.10
自引率
20.80%
发文量
23
审稿时长
12 weeks
期刊介绍: The Universidad ESAN, with more than 50 years of experience in the higher education field and post graduate studies, desires to contribute to the academic community with the most outstanding pieces of research. We gratefully welcome suggestions and contributions from business areas such as operations, supply chain, economics, finance and administration. We publish twice a year, six articles for each issue.
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