Moral hazard on the financial markets caused by application of
advanced risk-management model VAR

J 2017

Moral hazard on the financial markets caused by application of advanced risk-management model VAR

BOCK, Michal and Jaromír TICHÝ

Basic information

Original name

Moral hazard on the financial markets caused by application of advanced risk-management model VAR

Name in Czech

Morální hazard způsobený aplikací risk modelu VAR

Authors

BOCK, Michal (203 Czech Republic, belonging to the institution) and Jaromír TICHÝ (203 Czech Republic, guarantor, belonging to the institution)

Edition

GRANT Journal, MAGNANIMITAS Assn. Hradec Králové, Česká republika, GRANT journal Technologické centrum Hradce Králové o.p.s, 2017, 1805-062X

Other information

Language

English

Type of outcome

Článek v odborném periodiku

Field of Study

50200 5.2 Economics and Business

Country of publisher

Czech Republic

Confidentiality degree

není předmětem státního či obchodního tajemství

References:

URL

RIV identification code

RIV/04274644:_____/17:#0000249

Organization unit

University of Finance and Administration

Keywords (in Czech)

Morální hazard, Value at Risk, akciový index, měnový pár

Keywords in English

Moral hazard; Value at Risk; Stock index; Currency pair

Abstract

ORIG CZ

V originále

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.

In Czech

Morální hazard je koncept, který je asociován s hypoteční krizí v USA? Kde velké hypoteční banky byly pobízeny poskytovat úvěry prakticky komukoliv, bez ohledu na kvalitu a zajištění. Po kolapsu několika bank se americká vláda a americká centrální banka (Fed) rozhodly investovat prostředky do těchto bank a právě toto je příklad morálního hazardu, kdy finanční instituce mohou riskovat a v případě katastrofického scénáře management těchto bank není v ohrožení a řídí se jednoduchým pravidlem „příliš velcí na to, aby padly“. Cíl tohoto článku je aplikace rozšířeného modelu VaR na různorodé portfolio obsahující 8 aktiv a další aplikace tohoto modelu na akciový index SP500 za účelem konfrontace v rámci morálního hazardu. Jde o zjištění relevance tohoto modelu v praxi.

Citovat

BOCK, Michal and Jaromír TICHÝ. Moral hazard on the financial markets caused by application of advanced risk-management model VAR. GRANT Journal, MAGNANIMITAS Assn. Hradec Králové, Česká republika: GRANT journal Technologické centrum Hradce Králové o.p.s, 2017, vol. 6, No 1, p. 65-69. ISSN 1805-062X.

@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}
}

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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 and 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, vol.~6, No~1, p.~65-69. ISSN~1805-062X.

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