Market Crashes and Recoveries: The "Zero Risk Line" Approach

Silvia Facchinetti, Riccardo Bramante

Risultato della ricerca: Contributo in libroContributo a convegno

Abstract

Several studies have shown evidence of extreme stock market moves. Financial risk measurement models may produce inadequate risk views under these circumstances when the normality assumption is considered. The central task of this paper is to model risk properly during market crashes. We propose a new Value at Risk algorithm that is based on the “Zero Risk Trading Line”, a technical line which defines the break-even point of an investment. Twenty years after the September 11, 2001, terrorist attacks, we provide an application on one of the biggest stock market crashes in history.
Lingua originaleEnglish
Titolo della pubblicazione ospite37th EBES CONFERENCE - BERLIN PROCEEDINGS
Pagine1099-1102
Numero di pagine4
Stato di pubblicazionePubblicato - 2021
Evento37th EBES CONFERENCE - Berlino
Durata: 6 ott 20218 ott 2021

Convegno

Convegno37th EBES CONFERENCE
CittàBerlino
Periodo6/10/218/10/21

Keywords

  • Financial stability
  • Value at Risk
  • Stock market crashes

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