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

Kód výsledku v 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>

Výsledek na webu

<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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Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

50206 - Finance

Projekt

<a href="/cs/project/GA19-11965S" target="_blank" >GA19-11965S: Teorie sítí při problému optimalizace a trackování portfolia</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2021

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

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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Počet stran výsledku

10

Strana od-do

108-117

Název nakladatele

VŠB - Technical University of Ostrava

Místo vydání

Ostrava

Místo konání akce

Ostrava

Datum konání akce

6. 9. 2021

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

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