Do Trading Rules Influence the Market Risk Capital Requirement During a Crisis Period? Evidence from the UK and US Markets

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F21%3A10247914" target="_blank" >RIV/61989100:27510/21:10247914 - isvavai.cz</a>
Result on the web
<a href="https://www.ekf.vsb.cz/export/sites/ekf/frpfi/.content/galerie-souboru/2021/Sbornik_komplet_final.pdf" target="_blank" >https://www.ekf.vsb.cz/export/sites/ekf/frpfi/.content/galerie-souboru/2021/Sbornik_komplet_final.pdf</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Do Trading Rules Influence the Market Risk Capital Requirement During a Crisis Period? Evidence from the UK and US Markets
Original language description
This paper aims to analyse the impact of several technical analysis indicators and the stochastic dominance approach in the portfolio decision process in various markets during different crisis periods capturing different market conditions. The impact is mainly examined for the needs of market risk capital requirement analysis based on Basel III market risk capital requirement. To determine the weights of individual assets, maximizing performance ratio portfolio model is suggested. Two strategies for implementing technical analysis rules and the stochastic dominance rule in the portfolio creation process are considered. Strategy 1 aims to eliminate the whole systemic risk of the market with the alternative of investing in a risk-free asset. The second strategy focused on the use of assets that meet particular alarm rules. The results show that the use of strategy 1 to find systemic risk during the crisis reduced the risk of a portfolio with a similar level of profitability. When examining the impact on the market risk of the capital requirement, it was not possible to find a rule that would outperform the simple model in both areas, portfolio performance and MRCR levels.
Czech name
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Czech description
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Project
<a href="/en/project/GA19-11965S" target="_blank" >GA19-11965S: A network approach to portfolio optimization and tracking problems</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2021
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Financial Management of Firms and Financial Institutions : 13th international scientific conference : proceedings : 6th – 7th September 2021, Ostrava, Czech Republic
ISBN
978-80-248-4548-7
ISSN
2336-162X
e-ISSN
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Number of pages
10
Pages from-to
108-117
Publisher name
VŠB - Technical University of Ostrava
Place of publication
Ostrava
Event location
Ostrava
Event date
Sep 6, 2021
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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