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 originale | English |
|---|---|
| Titolo della pubblicazione ospite | 37th EBES CONFERENCE - BERLIN PROCEEDINGS |
| Pagine | 1099-1102 |
| Numero di pagine | 4 |
| Stato di pubblicazione | Pubblicato - 2021 |
| Evento | 37th EBES CONFERENCE - Berlino Durata: 6 ott 2021 → 8 ott 2021 |
Convegno
| Convegno | 37th EBES CONFERENCE |
|---|---|
| Città | Berlino |
| Periodo | 6/10/21 → 8/10/21 |
Keywords
- Financial stability
- Stock market crashes
- Value at Risk
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