Three essays on financial markets.

详细信息   

• 作者：Danciulescu ; Cristina.
• 学历：Doctor
• 年：2010
• 导师：Escanciano, Juan Carlos,eadvisorHolden, Craig W.ecommittee memberLee, Yoon-Jinecommittee memberPark, Joon Y.ecommittee member
• 毕业院校：Indiana University
• Department：Economics
• ISBN：9781124149172
• CBH：3413626
• Country：USA
• 语种：English
• FileSize：2672981
• Pages：156

文摘

This dissertation explores several aspects of regulation in financial markets and proposes improvements in the current regulatory methodology. The first chapter investigates empirically the natural experiment from September 2008, which is the United States Security and Exchange Commission Emergency Order prohibiting short selling for stocks of 900 financial firms. Based on the empirical evidence from the first chapter, the second chapter proposes a new multivariate backtesting procedure. Backtesting methods are statistical tests designed to uncover excessive risk taking from financial institutions. In this chapter it is shown that the proposed test increases significantly the power of the traditional backtesting methods in capturing systemic risk, where systemic risk should be understood as simultaneously realization of large losses at several business lines or banks. The multivariate procedure is addressing also an operational risk issue. The proposed technique provides a simple solution to VaR measure aggregation problem: the financial institution's global VaR measure being either smaller or larger than the sum of individual trading lines' VaRs leading to the institution either under- or over-risk exposure by maintaining excessively high or low capital levels. The third chapter highlights a pitfall in the current risk management methodology. Through Monte Carlo simulations it is shown that asymptotic theory fails at 1% risk level and 250 trading days length of testing period for the unconditional coverage test, which are the values suggested by the Basel Accord. As a consequence the test has a poor size performance. The solution proposed to this problem is replacing the asymptotic standard normal critical values by their Poisson approximation.