Measure of capital requirement by market risk models
type: Dataset
description: During the financial and economic crisis of 2008, it was noticed that the amount of capital required for banks' trading portfolio was significantly less than the real losses. To understand the causes of this low capital requirement, it seemed important to estimate the reliability of the market risk models and to propose stress testing methodologies for the management of extreme risks. The objective is to measure the capital requirement on a trading portfolio, composed of shares and commodities by the measure of the Value at Risk (VaR) and Expected Shortfall. To achieve this goal, we use the Generalized Pareto Distribution (GPD) and two internal models commonly used by banks: historical simulation method and model of the normal law. A first evaluation of the reliability made on the three risk models under the hypothesis of constant volatility, shows that the internal banks' models and the GPD model do not measure correctly the risk of the portfolio during the crisis periods. However, GPD model is reliable in periods of low volatility but with a strong overestimation of the real risk; it can lead banks to block more capital requirement than necessary. A second evaluation of the reliability of the risk models was made under the hypothesis of the change of the volatility and by considering the asymmetric effect of the financial returns. GPD model is the most reliable of all, irrespective of market conditions. The performance of the internal banks' risk models improves when considering the change of the volatility. The integration of the historic and hypothetical scenarios in the risk models, improves the estimation of the extreme risk, while decreasing the subjectivity blamed to the stress testing techniques. The stress testing realized with the internal models of banks does not allow a correct measure of the extreme risk. GPD model is better adapted for the stress testing techniques. We developed an algorithm of stress testing which allow banks to estimate the extreme …
identifier: NNT: 2012GRENG007
issued: 2026-05-09T16:03:16.832168
language: fr
modified: 2026-05-09T16:03:16.832174
contact point: Organization
  fn: CCSD
keyword: banking-regulation
keyword: capital-reglementaire
keyword: capital-requirement
keyword: extreme-value-theory
keyword: infoeu-reposemanticsdoctoralthesis
keyword: market-risk
keyword: reglementation-bancaire
keyword: risque-de-marche
keyword: shsecohumanities-and-social-scienceseconomics-and-finance
keyword: stress-test
keyword: stress-testing
keyword: theorie-des-valeurs-extremes
keyword: theses
keyword: valeur-en-risque
keyword: value-at-risk
landing page: https://theses.hal.science/tel-00864121

Measure of capital requirement by market risk models
type: Distribution
format: HTML
issued: 2026-05-09T16:03:16.841708
modified: 2026-05-09T16:03:16.796445
access URL: https://theses.hal.science/tel-00864121

test_moissonnage_selune
type: Agent