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Market risk measurement: preliminary lessons from the COVID-19 crisis

Lazar, E. ORCID: and Zhang, N. (2020) Market risk measurement: preliminary lessons from the COVID-19 crisis. In: Billio, M. and Varotto, S. ORCID: (eds.) A New World Post COVID-19 Lessons for Business, the Finance Industry and Policy Makers. Innovation in Business, Economics & Finance 1. Edizioni Ca'Foscari, pp. 97-107. ISBN 9788869694424

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To link to this item DOI: 10.30687/978-88-6969-442-4/007


This chapter presents a preliminary analysis on how some market risk measures dramatically increased during the COVID-19 pandemic, with measures computed over longer horizons experiencing more pronounced effects. We provide examples when regulatory market risk measurement proved to be suboptimal, overestimating risk. A further issue was the large number of Value-at-Risk ‘exceptions’ during the first few months of the crisis, which normally leads to overinflated bank capital requirements. The current regulatory framework should address these problems by suggesting improvements to the calculation of risk measures and/or by modifying the rules which determine capital requirements to make them appropriate and realistic in crisis situations.

Item Type:Book or Report Section
Divisions:Henley Business School > ICMA Centre
ID Code:92097
Publisher:Edizioni Ca'Foscari


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