Other formats:
BibTeX
LaTeX
RIS
@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.
|