Shortcomings in Financial Risk-modeling as a Factor in Financial Crisis
| Thesis title: | Shortcomings in Financial Risk-modeling as a Factor in Financial Crisis |
|---|---|
| Author: | Kovár, Peter |
| Thesis type: | Bachelor thesis |
| Supervisor: | Havlíček, David |
| Opponents: | Baran, Jaroslav |
| Thesis language: | English |
| Abstract: | In this bachelor's thesis we explore research on the importance of inclusion the factor of liquidity into risk-measuring and asset-pricing models. We also illustrate the price impact of liquidity shocks on major stock-exchange indices during the financial crisis of 2008. We look at the changes addressing the issue of liquidity in currently proposed Basel III regulation and identify some of the potential pitfalls therein. Presenting a case study, we evaluate whether these provisions would have been sufficient to stave off the bankruptcy of Lehman Brothers, Inc. We also investigate the role of complexity behind newly designed financial derivatives products and the risk associated from badly managed securitization process. |
| Keywords: | Basel III; financial innovation complexity; market liquidity risk |
| Thesis title: | Shortcomings in Financial Risk-modeling as a Factor in Financial Crisis |
|---|---|
| Author: | Kovár, Peter |
| Thesis type: | Bakalářská práce |
| Supervisor: | Havlíček, David |
| Opponents: | Baran, Jaroslav |
| Thesis language: | English |
| Abstract: | V tejto bakalárskej práci sa zameriavame na prehľad výskumu, ktorý pripomína dôležitosť obsiahnutia faktora rizika likvidity v modeloch na predpovede rizika a oceňovanie aktív. Ilustrujume cenový dopad likviditných šokov na hlavných akciových indexoch počas finančnej krízy 2008. Po prehľade zmien, ktoré prináša súčasný návrh zmien regulácie Basel III vyhodnocujeme, či by tieto zmeny boli dostatočné natoľko, aby včas varovali, prípadne zabránili pádu Lehman Brothers. Taktiež sa dotýkame problematiky narastajúcej komplexity vo finančnom systéme, vyvolanej finančnými inováciami a novými derivátovými produktmi a rizikom, ktoré pramenilo zo zlého procesu sekuritizácie týchto produktov. |
| Keywords: | komplexita finančnej inovácie; Basel III; tržné riziko likvidity |
Information about study
| Study programme: | Finance a účetnictví/Finance |
|---|---|
| Type of study programme: | Bakalářský studijní program |
| Assigned degree: | Bc. |
| Institutions assigning academic degree: | Vysoká škola ekonomická v Praze |
| Faculty: | Faculty of Finance and Accounting |
| Department: | Department of Banking and Insurance |
Information on submission and defense
| Date of assignment: | 23. 3. 2011 |
|---|---|
| Date of submission: | 1. 5. 2012 |
| Date of defense: | 27. 8. 2012 |
| Identifier in the InSIS system: | https://insis.vse.cz/zp/31405/podrobnosti |