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dc.contributor.author
Kokoris, Athanasios
en
dc.date.accessioned
2018-04-23T11:30:50Z
dc.date.available
2018-04-24T00:00:14Z
dc.date.issued
2018-04-23
dc.identifier.uri
https://repository.ihu.edu.gr//xmlui/handle/11544/29029
dc.rights
Default License
dc.subject
PRIIPs
en
dc.subject
Value-at-Risk
en
dc.subject
Expected Shortfall
en
dc.subject
Cornish-Fischer
en
dc.title
Market Risk Assessment on Packaged Retail and Insurance-based Investment Products
en
heal.type
masterThesis
en_US
heal.creatorID.email
athanasios.kokoris@gmail.com
heal.classification
Finance, Risk
en
heal.keywordURI.LCSH
Risk management
heal.keywordURI.LCSH
Risk management--Econometric models
heal.contributorName
Archontakis, Fragiskos
en
heal.contributorID.email
f.archontakis@ihu.edu.gr
heal.language
en
en_US
heal.access
free
en_US
heal.license
http://creativecommons.org/licenses/by-nc/4.0
en_US
heal.recordProvider
School of Economics, Business Administration and Legal Studies, MSc in Banking and Finance
en_US
heal.publicationDate
2017-11-30
heal.bibliographicCitation
Athanasios A. Kokoris, Market Risk Assessment on Packaged Retail and Insurance-based Investment Products, School of Economics, Business Administration & Legal Studies/Msc in Banking & Finance, International Hellenic University, 2017
el
heal.abstract
The purpose of this research is to clarify whether the methodology proposed by the European Supervisory Authorities (ESAs) within Delegated Regulation (EU) 2017/653 for the calculation of market risk of certain Packaged Retail and Insurance-based Investment Products (PRIIPs) is a valid one. More specifically, ESAs have announced that the Unit-Linked products which are labeled as Category II PRIIPs, will be subject to the Cornish-Fisher Value-at-Risk (CFVaR) methodology for their market risk assessment. Since the regulations drafted by ESAs regarding PRIIPs are relatively new, the difficulty of this thesis lies in the fact that there is scant literature on the subject under investigation. Five risk models are put into test in order to validate the appropriateness of the methodology announced by ESAs. Initially, Historical Value-at-Risk and Expected Shortfall are employed as the most simplistic methods. However, these methods cannot incorporate the possibility of financial instability. In order to tackle this barrier, the Cornish-Fisher expansion is introduced. Both CFVaR as proposed by ESAs and the classic CFVaR as described in certain academic papers show that Cornish-Fischer is a more robust model than the simpler ones. However, when Cornish-Fischer Expected Shortfall (CFES) is applied, two strong points are formed. Firstly, it is observed that only in half of the cases Cornish-Fischer can be considered a reliable method and secondly the CFES is a more coherent risk measure than CFVaR. According to the results, it is assumed that the Cornish-Fischer expansion is unable to accurately estimate the market risk of Unit-Linked products when excessive fat-tailed or non-symmetrical distributions are present. Finally, it is proposed that a different methodology could be also looked into by the regulatory bodies which will capture the excessive values of products in financial distress.
en
heal.advisorName
Archontakis, Fragiskos
el
heal.committeeMemberName
Fragiskos, Archontakis
el
heal.committeeMemberName
Grose, Christos
el
heal.committeeMemberName
SIkalidis, Alexandros
el
heal.academicPublisher
IHU
en
heal.academicPublisherID
ihu
en_US
heal.numberOfPages
61
en_US


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