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

D 2016

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 na finančních trzích způsobený aplikací pokročilé metody risk managementu VaR

Authors

BOCK, Michal and Jaromír TICHÝ

Edition

7. vyd. Hradec Králové, Sborník konference, p. 293-301, 400 pp. 2016

Publisher

International Masaryk Conference for Ph.D for students and young researchers

Other information

Language

English

Type of outcome

Stať ve sborníku

Field of Study

50200 5.2 Economics and Business

Country of publisher

Czech Republic

Confidentiality degree

není předmětem státního či obchodního tajemství

Publication form

storage medium (CD, DVD, flash disk)

Organization unit

University of Finance and Administration

ISBN

978-80-87952-17-7

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 spojován s hypoteční krizí v USA, kde velké hypoteční banky byly vybízeny k poskytování hypoték prakticky komukoliv, bez odpovídajícího zajištění. Po kolapsu několika těchto bank. Americká vláda a americká centrální banka (Fed) investovaly kapitál do těchto bank, aby jim zajistily dostatečnou likviditu. Toto je příklad morálního hazardu, kdy banky berou rizika a v případě katastrofálního scénáře nejsou banky přímo ohroženy, protože se řídí pravidlem „příliš velký, aby padl“. Cílem článku je aplikace rozšířeného modelu VaR (Value at Risk) skrze sérii příjmu portfolia za určité období, které se skládá z 8 aktiv a dále aplikace tohoto modelu na akciový index SP500 k ocenění tohoto modelu v rámci morálního hazardu. Jde primárně o potvrzení 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. In MAGNANIMITAS. Sborník konference. 7th ed. Hradec Králové: International Masaryk Conference for Ph.D for students and young researchers, 2016, p. 293-301, 400 pp. ISBN 978-80-87952-17-7.

@inproceedings{6054,
   author = {Bock, Michal and Tichý, Jaromír},
   address = {Hradec Králové},
   booktitle = {Sborník konference},
   edition = {7},
   editor = {MAGNANIMITAS},
   keywords = {Moral hazard; Value at Risk; Stock index; Currency pair.},
   howpublished = {paměťový nosič},
   language = {eng},
   location = {Hradec Králové},
   isbn = {978-80-87952-17-7},
   note = {Dedikováno k IGA VŠFS "Aktuální trendy ve vývoji finančních trhů"},
   pages = {293-301},
   publisher = {International Masaryk Conference for Ph.D for students and young researchers},
   title = {Moral hazard on the financial markets caused by application of advanced risk-management model VAR},
   year = {2016}
}

TY  - JOUR
ID  - 6054
AU  - Bock, Michal - Tichý, Jaromír
PY  - 2016
TI  - Moral hazard on the financial markets caused by application of advanced risk-management model VAR
PB  - International Masaryk Conference for Ph.D for students and young researchers
CY  - Hradec Králové
SN  - 9788087952177
N1  - Dedikováno k IGA VŠFS "Aktuální trendy ve vývoji finančních trhů"
KW  - Moral hazard
KW  - Value at Risk
KW  - Stock index
KW  - Currency pair.
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. In MAGNANIMITAS. \textit{Sborník konference}. 7th ed. Hradec Králové: International Masaryk Conference for Ph.D for students and young researchers, 2016, p.~293-301, 400 pp. ISBN~978-80-87952-17-7.

Detailed Information on Publication Record