Další formáty:
BibTeX
LaTeX
RIS
@article{6033, author = {Bock, Michal and Tichý, Jaromír}, article_location = {Hradec Králové, Česká republika}, article_number = {1}, keywords = {Moral hazard; Value at Risk; Stock index; Currency pair}, language = {eng}, issn = {1805-062X}, journal = {GRANT Journal, MAGNANIMITAS Assn.}, note = {Research project IGA VŠFS Prague „Aktuální trendy ve vývoji finančních trhů“ (Current trends in financial markets) funded by the institutional support of research organization University of Finance and Administration, Prague.}, title = {Moral hazard on the financial markets caused by application of advanced risk-management model VAR}, url = {http://www.grantjournal.com/index.php?option=com_content&view=article&id=34&Itemid=30&lang=cs}, volume = {6}, year = {2017} }
TY - JOUR ID - 6033 AU - Bock, Michal - Tichý, Jaromír PY - 2017 TI - Moral hazard on the financial markets caused by application of advanced risk-management model VAR JF - GRANT Journal, MAGNANIMITAS Assn. VL - 6 IS - 1 SP - 65-69 EP - 65-69 PB - GRANT journal Technologické centrum Hradce Králové o.p.s SN - 1805062X N1 - Research project IGA VŠFS Prague „Aktuální trendy ve vývoji finančních trhů“ (Current trends in financial markets) funded by the institutional support of research organization University of Finance and Administration, Prague. KW - Moral hazard KW - Value at Risk KW - Stock index KW - Currency pair UR - http://www.grantjournal.com/index.php?option=com_content&view=article&id=34&Itemid=30&lang=cs L2 - http://www.grantjournal.com/index.php?option=com_content&view=article&id=34&Itemid=30&lang=cs N2 - Moral hazard is a concept that has been associated with the mortgage crisis in the US, where large mortgage banks were encouraged to provide loans to almost anyone without quality collateral. After the collapse of these banks, the US government and the US central bank (Fed) invested the capital into these banks to provide them sufficient liquidity. This is an example of moral hazard, where financial institutions can take risks and in case of catastrophic scenario these banks and the management of these banks are not threatened that they would have to be responsible and they follow a simple rule: "too big to fail". The aim of the article is an application of advanced model VaR (Value at Risk) through a time series of income for the corresponding period of the investment portfolio, which consists of eight assets and further the application of this model on stock index SP500, to assess this method in terms of moral hazard. It is primarily about the relevance of this method in practice. ER -
BOCK, Michal a Jaromír TICHÝ. Moral hazard on the financial markets caused by application of advanced risk-management model VAR. \textit{GRANT Journal, MAGNANIMITAS Assn.}. Hradec Králové, Česká republika: GRANT journal Technologické centrum Hradce Králové o.p.s, 2017, roč.~6, č.~1, s.~65-69. ISSN~1805-062X.
|