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开始学习
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Possibility that at least several banks will collapse, Situation in which default of one participant of financial system causes defaults of other participants, which leads to chain effect causing financial troubles
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What is financial crisis? 开始学习
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State of disequilibrium in financial market characterized by lack of liquidity
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What is financial stability? 开始学习
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Lack of financial crisis, State in which financial system fulfills all its functions in continuous and effective way, also in the case of unexpected and negative shocks at large scale, Ability to support economic processes, risk management and shock absorption.
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What is expected shortfall? 开始学习
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Present Value of the part of debt which is not backed by assets in the case of default
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What measures of risk of banking sector depend on? 开始学习
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-Capitalization of bank –the higher, the lower risk, Volatility of assets –the higher, the higher risk, Correlation of assets –the higher, the higher risk
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What are the measures of risk in banking sector? 开始学习
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probability that group of banks will collapse, probability that fraction of the banks will collapse, expected shortfall
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What are characteristics of price stability? 开始学习
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simple administrative procedure, standard forecasts, accountable, instruments of control, measurable
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What are characteristics of financial stability? 开始学习
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hardly measurable, not accountable, forecasted by stress tests and simulations, difficult administrative procedure
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Why measure financial stability? 开始学习
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1. It is easier to define, measure, model, analyse etc 2. problem of measurement should have priority as we need to compare and analyse 3. we need a formal, model-based definition
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How financial fragility is characterised? 开始学习
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It is characterised by reduced bank profitability and increased aggregate default.
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what bank profitability and increased aggregate default is linked to? 开始学习
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开始学习
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measure reflecting changes of some index in the specified period, for example: stock prices, market index values, interest rates, exchange rates, commodity prices, etc.
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What usually is taken for a measure of volatility? 开始学习
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standard deviation of returns
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What is historical volatility? 开始学习
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volatility determined on the basis of historical data
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What is implied volatility? 开始学习
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volatility determined from option prices
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What is forecasted volatility? 开始学习
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volatility for future period
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What is Realized volatility? 开始学习
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volatility of past period
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What volatility is related to? 开始学习
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to particular period, for example daily, monthly annual. This allows us to determine term structure of volatility –for each time period volatility is determined
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What is volatility clustering? 开始学习
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large changes are followed by large changes, small changes are followed by small changes
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Name some volatility properties? 开始学习
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Volatility is mean reverting, Positive and negative shocks have asymmetric impact on volatility, Price changes and volatility are negatively correlated, Changes of volatility on the different markets are positively correlated
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What are the two groups of historical volatility models? 开始学习
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Simple estimators, Estimators in financial econometrics models
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What Estimator of Anderson is? 开始学习
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o called integrated volatility –sum of logarithmic returns determined for short intraday intervals, Considered as a benchmark for simple volatility estimators
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What is EWMA (Exponentially Weighted Moving Average)? 开始学习
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JP Morgan in Riskmetrics Estimated sequentially as weighted average of previous variance and current squared deviation from mean
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开始学习
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Generalized AutoRegressive Conditional Heteroscedasticity
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开始学习
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This is monthly volatility, calculated by using prices of options on S&P 500, with different strikes.
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开始学习
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Name some volatility indices? 开始学习
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VXN (NASDAQ 100), VXD (DJIA), RVX (Russell 2000)
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