Search results

1

Comparison of Block Maxima and Peaks Over Threshold Value-at-Risk models for market risk in various economic conditions

100%

Szubzda F., Chlebus M.

Central European Economic Journal

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2019

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vol. 6

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issue 53

EN

The aim of the presented study was to assess the quality of VaR forecasts in various states of the economic situation. Two approaches based on the extreme value theory were compared: Block Maxima and the Peaks Over Threshold. Forecasts were made on the daily closing prices of 10 major indices in European countries, divided into two groups: emerging countries (Bulgaria, Czech Republic, Lithuania, Latvia, Poland, Slovakia and Hungary) and developed countries (England, France and Germany). Three states of economic situation were analysed: the pre-crisis (2007), the crisis (2008) and the post-crisis (2009) period as out-of-sample. The main conclusion obtained is the too slow process of adapting static EVT-based forecasts to market movements. While in the pre-crisis period the results were satisfactory, in the period of crisis VaR forecasts were too often exceeded.

2

APPLICATION OF MIGRATION MATRICES TO RISK EVALUATION AND THEIR IMPACT ON PORTFOLIO VALUE

100%

Grzybowska U., Karwanski M.

Metody Ilościowe w Badaniach Ekonomicznych

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2013

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vol. 14

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issue 1

127-136

EN

Migration matrices are widely used in risk management. In particular, quality of financial products due to credit risk is described by assigning them to one of several rating categories. The probability of future rating is determined by a migration matrix. Portfolio’s value depends on the rating and on market states. To find an optimal portfolio one should consider migration matrices and the dynamics of market changes. The main goal of our research was to investigate the impact of both risks, market risk and credit risk on portfolio value. On a real portfolio we show that differences in migration matrices that result from the state of economy influence considerably credit risk and portfolio value.

3

Modelling extreme market risk of polish banks’ debt instruments’ portfolios

100%

Łupiński M.

Econometrics. Ekonometria. Advances in Applied Data Analytics

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2013

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issue 3(41)

113-130

EN

The main goal of this article is to present extreme market risk evaluation methods which go beyond the standard Value at Risk methodology. Two main approaches: Expected Tail Loss (ETL) and Extreme Value Theory (EVT) are presented and then applied to simulate interest risk stemming from government debt portfolio held by Polish banks. The two methods seem to be very useful to estimate real market risk exposures during the times of distress on the financial markets.

4

Comparison of Alternative Approaches to VaR Evaluation

100%

Łupiński M.

Ekonomia. Rynek, Gospodarka, Społeczeństwo

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2013

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issue 33

127-143

EN

The main goal of this article is to present alternative methods of market risk measurement in Polish banking sector with popular Value at Risk (VaR) approach. Four main methods: analytical, historical, simulation and hybrid (Filtered Historical Simulation, FHS) of VaR are presented and then three of them are applied to evaluate interest risk stemming from government bonds’ portfolio held by Polish banks. Adequacy of VaR measures counted with particular methods is compared with the help of formalized criteria and best fitted methodology is recommended.

5

Selected factors of internationalisation and their impact on the SME perception of the market risk

100%

Virglerova Z., Ivanova E., Dvorsky J., Belas J., Krulický T.

Oeconomia Copernicana

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2021

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vol. 12

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issue 4

1011-1032

EN

Research background: Internationalisation of entrepreneurial activities provides an ample opportunity for the growth and sustainability of small and medium-sized enterprises (SMEs). When making their business activities international, SMEs are facing various obstacles. Investigating the key factors of internationalisation and their impact on SME decision making constitutes a key factor of the research work. Purpose of the article: The main purpose of the paper is to examine the impact of selected factors of SME internationalisation on the positive perception of the market risk. Higher export costs, differences in legal environment, taxes, and linguistic and cultural differences were set to be the significant factors influencing the positive perception of the market risk. Bearing the main purpose in mind, the Visegrad Four (V4 - Czech Republic, Slovakia, Poland, Hungary) were examined. Methods: The questionnaire in mother tongue of each country in online and paper form was used. The questionnaire consists of 77 questions divided into several sections. Likert five-point scale was used to allow the respondents to express their opinion. In total, 1585 responses were completed. A regression analysis was used to verify the statistical significance of the independent variables and to quantify the causal relationships (determining the direction and strength of the effect) on the dependent variable. As the variables are of one metric, a linear regression model (LRM) was selected to validate the hypothesis. Findings & value added: The internationalisation of SME activities brings along many risks and barriers that SMEs need to overcome if they want to enter international markets. Many SMEs consider the barriers and restrictions to enter foreign markets to be severe. Therefore, they decide to do their business domestically. It was established in the research that only 30.2% of the respondents expanded their business activities internationally. The biggest impact on the positive assessment of the market risk was found to have linguistic and cultural differences. They do not have a negative effect on the positive perception of the market risk, so they do not hinder SMEs in their international expansion. The second most important was the factor of the export costs. The factor of possible increased costs is quite important for SMEs in making their decisions whether to expand internationally or not. This factor also shapes a positive approach to assessing the market risk by SMEs. In the research, SMEs confirmed that potential higher costs do not represent a major barrier for them in shaping their attitudes towards the market risk. The remaining factors being analysed, namely differences in legal environment and taxes, did not have a significant impact on the positive assessment of the market risk internationally. The practical implications can be found in new information about market risk in process of internationalisation provided from four selected countries.

6

Should risk-averse investors target the portfolios of socially responsible companies?

88%

Valls Martínez M. d. C., Soriano Román R., Martín Cervantes P. A.

Oeconomia Copernicana

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2022

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vol. 13

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issue 2

439-474

EN

Research background: Companies are required to implement Corporate Social Responsibility (CSR) policies to mitigate the adverse social and environmental effects of their activities and gain legitimacy in the eyes of society. Sustainability initiatives are costly for companies but, at the same time, they are important value-creation drivers. Retail and institutional investors are increasingly choosing portfolios based on CSR performance. However, the relationship between CSR and market beta has hardly been studied at all in the literature, and no direct comparison of the U.S. and European markets has been conducted. Purpose of the article: The two fundamental variables that define an investment are return and risk, and the appropriate risk-return combination depends on the profile of the investors. This research aims to analyze the relationship between CSR and market risk, understood as price volatility and measured by market beta in the U.S. and European markets. Methods: Companies listed in the S&P 500 and Euro Stoxx 300 indexes from 2015 to 2019 were examined using OLS regressions with instrumental variables (IV) and fixed effects panel data. Findings & value added: The results show that those companies with higher CSR have betas below the market index in the U.S. market as well as lower volatility, and are, therefore, more appropriate choices for risk-averse investors. However, this relationship was not confirmed in the European market. This difference may be justified by two reasons: 1) The non-adherence of the United States to the Kyoto Protocol, resulting in less strict legal regulations than in Europe; 2) In the U.S. market, betas are more aggressive, while in the European market they are more defensive, with little margin for reduction. This research contributes to the current state of knowledge by providing empirical evidence that social, environmental, and corporate governance sustainability practices reduce stock volatility in the U.S. capital market, which is highly relevant for private and institutional investors who make their investments based on moral criteria. The results are current and reliable since they cover a broad and recent period for two of the most important stock market indexes.

7

EWS-GARCH: New Regime Switching Approach to Forecast Value-at-Risk

88%

Chlebus M.

Central European Economic Journal

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2017

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vol. 3

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issue 50

EN

In the study, the two-step EWS-GARCH models to forecast Value-at-Risk is presented. The EWS-GARCH allows different distributions of returns or Value-at-Risk forecasting models to be used in Value-at-Risk forecasting depending on a forecasted state of the financial time series. In the study EWS-GARCH with GARCH(1,1) and GARCH(1,1), with the amendment to the empirical distribution of random errors as a Value-at-Risk model in a state of tranquillity and empirical tail, exponential or Pareto distributions used to forecast Value-at-Risk in a state of turbulence were considered. The evaluation of Value-at-Risk forecasts was based on the Value-at-Risk forecasts and the analysis of loss functions. Obtained results indicate that EWS-GARCH models may improve the quality of Value-at-Risk forecasts generated using the benchmark models. However, the choice of best assumptions for the EWS-GARCH model should depend on the goals of the Value-at-Risk forecasting model. The final selection may depend on an expected level of adequacy, conservatism and costs of the model.

8

Market risk, value-at-risk and exponential weighting

75%

Broll U., Förster A.

Economics and Business Review

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2022

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vol. 8

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issue 2

80-91

EN

Banks and nfiancial intermediaries are exposed to market risk. The aim of the paper is to explore the implications of legal requirements on market risk valuation. The focus is on the calculation of the permissible weighting factor of the concept of value-at-risk (VaR). When measuring market risk, banks and nfiancial intermediaries may deviate from equally weighting historical data in their value-at-risk calculation and instead use an exponential time series weighting. eTh use of exponential weighting in the value-at-risk calculation is very popular because it takes into account changes in market volatility (immediately) and can therefore quickly adapt to VaR. In less volatile market phases this leads to a reduction in VaR and thus to lower own funds' requirements for banks and nfiancial intermediaries. However, in the exponential weighting a high volatility in the past is quickly forgotten and the VaR can be underestimated. To prevent this banks and nfiancial intermediaries are not completely free to choose a weighting (decay) factor. The exchange rate between Polish zloty and euro is used to estimate the value-at-risk as an example and exceptions to the general legal requirements are also discussed.

9

Zarządzanie ryzykiem

75%

Wyrębek H., Ciekanowski Z.

De Securitate et Defensione. O Bezpieczeństwie i Obronności

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2016

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issue 2(2)

7-20

XX

Risk is a phenomenon associated with any activity aimed at achieving its objectives. This phenomenon arises from the different risks of incurring losses by entrepreneurs and other business entities. Today, an increasing number of situations to take risks. All organizations, regardless of size come into contact with internal and external factors that give rise to uncertainty. The result of this uncertainty is the risk associated with any type of business. It is therefore important to any enterprise undertaken measures to reduce uncertainty and a list of wrong decisions causing a risk of action. This paper is descriptive in which the analysis of the source. The article presents the significance and conditions of enterprise risk management.

10

Wpływ sanacji kredytów frankowych na rynek swapów walutowych w PLN

75%

Mielus P.

Annales Universitatis Mariae Curie-Skłodowska, sectio H – Oeconomia

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2017

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vol. 51

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issue 5

EN

A discussion about various methods of FX conversion of currency loans indicates numerous social and economic implications for banking sector in Poland and its clients. A paper describes potential implication of FX conversion on currency swap market in PLN. Having in mind swap payout profile and its legal terms and non-residents role in market making, the restructuring of Swiss franc mortgages has an impact on swap valuation and both currency and liquidity exposure of banks. The analysis of market rates dynamic on emerging markets suggests that loan conversion will have moderate impact on the stability and level of prices of the hedging instruments referring to foreign currency liquidity risks.

PL

Dyskusja na temat różnych metod konwersji kredytów walutowych wskazuje na liczne implikacje społeczne i ekonomiczne dla sektora bankowego w Polsce i jego klientów. W artykule został opisany potencjalny wpływ przewalutowania kredytów na rynek swapów walutowych w PLN. Mając na uwadze konstrukcję swapów i rolę nierezydentów w kształtowaniu ich cen, sanacja portfeli frankowych ma i będzie miała znaczenie dla wyceny instrumentów zabezpieczających, opartych o kontrakty swapowe, oraz na pozycję płynności i pozycję walutową sektora bankowego. Obserwacja dynamiki cen na rynkach wschodzących wskazuje, że konwersja kredytów walutowych może mieć umiarkowany wpływ na stabilność i poziom cen instrumentów zabezpieczających ryzyko płynności w walutach obcych.

11

Actual Problems Of Business Risk In SME Segment. Case Study From Slovakia

75%

Belás J., Bilan Y., Ključnikov A., Vincúrová Z., Macháček J.

International Journal of Entrepreneurial Knowledge

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2015

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vol. 3

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issue 1

46-56

EN

The aim of this article was to define, quantify and compare the significant attributes of business risk for small and medium-sized enterprises (SMEs) in the selected regions of Slovakia. The data was collected through a questionnaire. The whole research was conducted in the Bratislava region on a sample of 102 SMEs, in the region of Trencin on a sample of 105 SMEs and in the Zilina region on a sample of 168 SMEs. Thus we compared important factors of business risk in the most economically developed region of the Slovak capital to the average regions of Trencin and Zilina. On the basis of the results of our research, we can conclude that the most important business risk is market risk in all regions. The average value of perceived market risk was higher than 50%. For this reason entrepreneurs have indicated the existence of negative trends in performance and profitability of their companies.

12

One-day-ahead forecast of state of turbulence based on today's economic situation

75%

Chlebus M.

Equilibrium. Quarterly Journal of Economics and Economic Policy

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2018

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vol. 13

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issue 3

357-389

EN

Research background: In the literature little discussion was made about predicting state of time series in daily manner. The ability to recognize the state of a time series gives, for example, an opportunity to measure the level of risk in a state of tranquility and a state of turbulence independently, which can provide more accurate measurements of the market risk in a financial institution. Purpose of the article: The aim of article is to find an appropriate tools to predict, based on today's economic situation, the state, in which time series of financial data will be tomorrow. Methods: This paper proposes an approach to predict states (states of tranquillity and turbulence) for a current portfolio in a one-day horizon. The prediction is made using 3 different models for a binary variable (Logit, Probit, Cloglog), 4 definitions of a dependent variable (1%, 5%, 10%, 20% of worst realization of returns), 3 sets of independent variables (un-transformed data, PCA analysis and factor analysis). Additionally, an optimal cut-off point analysis is performed. The evaluation of the models was based on the LR test, Hosmer-Lemeshow test, Gini coefficient analysis and CROC criterion based on the ROC curve. The analyses were performed for 43 individual shares and 5 portfolios of shares quoted on the Warsaw Stock Exchange. The study has been conducted for the period from 1 January 2006 to 31 January 2012. Findings & Value added: Six combinations of assumptions have been chosen as appropriate (any model for a binary variable, the dependent variable defined as 5% or 10% of worst realization of returns, untransformed data, 5% or 10% cut-off point respectively). Models built on these assumptions meet all the formal requirements and have a high predictive and discriminant ability to one-day-ahead forecast of state of turbulence based on today's economic situation.

13

Default and equity risk premium in the conditions of globalization and the internationalisation of the biggest capital markets of the EU and GFCI countries. Ex post implied equity premium analysis

63%

Pera J.

Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu

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2019

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issue vol. 63, nr 7

82-91

EN

The purpose of the work is to examine the relationship between market risk premium and default. The research hypothesis assumes that the amount of the market risk premium significantly affects the level of the estimated probability of default of the company. The analysis was carried out using the example of the largest capital markets in the European Union and GFCI within the period from 1 January 2012 to 31 December 2018. Time series of the 20 most important stock market indices of non-financial companies representing all continents were applied in the empirical study. The largest non-financial companies, with regard to assets held as of 1 January 2012, listed on particular capital markets and included in the analyzed stock indices, one for each index, were included in the study. The following research methods were applied: the CAPM equilibrium model, Sharpe’s market asset value ratio and the market value of the corporate equity. The empirical study used time series of the 20 most important stock market indices of non-financial companies representing the analyzed markets. As a result of the analysis, the following research conclusion was established: the final value of companies from the GFCI area does not prove any significant difference with regard to their value before considering the risk premium. In the case of the EU market, this difference is significant. This means that capital markets with weaker capital and poorer, less stable economic conditions are less able to face market risk.

PL

Celem artykułu jest zbadanie zależności między premią za ryzyko rynkowe a niewypłacalnością. Przyjęta hipoteza badawcza brzmi następująco: wysokość premii za ryzyko rynkowe wpływa zasadniczo na poziom oszacowanego prawdopodobieństwa niewypłacalności spółki. Analizę przeprowadzono na przykładzie największych rynków kapitałowych w UE oraz GFCI w okresie 1.01.2012-31.12.2017. W badaniu empirycznym wykorzystano szeregi czasowe 20 najważniejszych indeksów giełdowych spółek niefinansowych reprezentujących wszystkie kontynenty. Badaniem objęto największe pod względem posiadanych aktywów spółki niefinansowe w dniu 1.01.2012 r., notowane na poszczególnych rynkach kapitałowych i wchodzące w skład analizowanych indeksów giełdowych, po jednej dla każdego indeksu. Jako metody badawcze zastosowano: model równowagi rynku kapitałowego CAPM oraz rynkowy współczynnik wartości aktywów Sharpe’a i rynkową wartość kapitału własnego przedsiębiorstwa. W badaniu wykorzystano szeregi czasowe 20 najważniejszych indeksów giełdowych spółek niefinansowych reprezentujących analizowane rynki. Sformułowano wniosek badawczy: wartość finalna spółek z obszaru GFCI nie wykazuje istotnie różnicy w stosunku do ich wartości przed uwzględnieniem premii za ryzyko. W przypadku rynku UE różnica ta jest już znacząca. Wskazuje to, że rynki kapitałowe o słabszym kapitale i gorszych, mniej stabilnych warunkach gospodarowania gorzej radzą sobie z ryzykiem rynkowym.

14

Can Lognormal, Weibull or Gamma Distributions Improve the EWS-GARCH Value-at-Risk Forecasts?

63%

Chlebus M.

Przegląd Statystyczny

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2016

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vol. 63

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issue 3

329-350

PL

W badaniu analizie poddane zostały dwustopniowe modele EWS-GARCH służące do prognozowania wartości narażonej na ryzyko. W ramach analizy rozpatrywane były modele EWS-GARCH zakładające rozkłady lognormalny, Weibulla oraz Gamma w stanie turbulencji oraz modele GARCH(1,1) i GARCH(1,1) z poprawką na rozkład empiryczny w stanie spokoju. Ocena jakości prognoz Value-at-Risk uzyskanych na podstawie wspomnianych modeli została przeprowadzona na podstawie miar adekwatności (wskaźnik przekroczeń, test Kupca, test Christoffersena, test asymptotyczny bezwarunkowego pokrycia oraz kryteria backtestingu określone przez Komitet Bazylejski) oraz analizy funkcji strat (kwadratowa funkcja straty Lopeza, absolutna funkcja straty Abad i Benito, 3 wersja funkcji straty Caporina oraz funkcja nadmiernych kosztów). Uzyskane wyniki wskazują, że modele EWS-GARCH z rozkładem lognormalnym, Weibulla lub Gamma mogą konkurować z modelami EWS-GARCH z rozkładem wykładniczym lub empirycznym. Modele EWS-GARCH z rozkładem lognormalnym, Weibulla lub Gamma są nieco mniej konserwatywne, jednocześnie jednak koszt ich stosowania jest mniejszy niż modeli EWS-GARCH z rozkładem wykładniczym lub empirycznym.

EN

In the study, two-step EWS-GARCH models to forecast Value-at-Risk are analysed. The following models were considered: the EWS-GARCH models with lognormal, Weibull or Gamma distributions as a distributions in a state of turbulence, and with GARCH(1,1) or GARCH(1,1) with the amendment to empirical distribution of random error models as models used in a state of tranquillity. The evaluation of the quality of the Value-at-Risk forecasts was based on the Value-at-Risk forecasts adequacy (the excess ratio, the Kupiec test, the Christoffersen test, the asymptotic test of unconditional coverage and the backtesting criteria defined by the Basel Committee) and the analysis of loss functions (the Lopez quadratic loss function, the Abad & Benito absolute loss function, the 3rd version of Caporin loss function and the function of excessive costs). Obtained results show that the EWSGARCH models with lognormal, Weibull or Gamma distributions may compete with EWS-GARCH models with exponential and empirical distributions. The EWS-GARCH model with lognormal, Weibull or Gamma distributions are relatively less conservative, but using them is less expensive than using the other EWS-GARCH models.

15

Wpływ pandemii COVID-19 na ryzyko rynkowe akcji mierzone współczynnikiem beta

63%

Lisicki B.

Wiadomości Statystyczne. The Polish Statistician

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2023

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vol. 68

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issue 1

1-22

EN

The beta coefficient (ß) is one of the most popular measures of the risk associated with investing in stocks. In the case of the simple linear regression model, the ß coefficient shows what change in the rate of return on a company’s shares will occur when the market rate of return on shares increases by one percentage point. The aim of the study presented in the article is to compare the value of the ß coefficient of the shares in the largest companies listed on the Warsaw Stock Exchange (WSE) during the COVID-19 pandemic (2020–2021) and in the period directly preceding its outbreak (2018–2019). The considered hypothesis is that the spread of the COVID-19 pandemic had an impact on the value of the ß coefficient of the shares of selected companies listed on the WSE. In order to verify the hypothesis, the ordinary least squares (OLS) method was used to estimate the ß coefficient of WSE companies for the indicated research periods. Four different time intervals of returns were used to estimate the ß coefficient: daily, weekly, biweekly and monthly. The differences between the ß values of the shares of the issuers qualified for the study proved statistically significant (when verified with the t-test for dependent groups) for all of the indicated time intervals of returns. The research results show a significant change in the value of the ß coefficient of the shares of the largest WSE issuers during the COVID-19 pandemic in comparison to the previous years, which indicates a higher level of systematic risk for these companies, previously considered as safe. These results are consistent with the research conducted on global capital markets.

PL

Współczynnik beta (ß) stanowi jeden z najpopularniejszych mierników ryzyka inwestowania w akcje. W przypadku modelu regresji prostej pokazuje, jaka zmiana stopy zwrotu z akcji spółki nastąpi w wyniku wzrostu rynkowej stopy zwrotu z akcji o jeden punkt procentowy. Celem badania omawianego w artykule jest porównanie wartości współczynnika ß akcji największych spółek notowanych na Giełdzie Papierów Wartościowych w Warszawie (GPW) podczas pandemii COVID-19 (lata 2020–2021) oraz w okresie bezpośrednio poprzedzającym jej wybuch (lata 2018–2019). Przyjęto hipotezę, że rozprzestrzenianie się pandemii miało wpływ na kształtowanie się wartości współczynnika ß akcji spółek z GPW. Aby ją zweryfikować, oszacowano wartości współczynnika ß akcji wybranych spółek z GPW we wskazanych okresach przy użyciu klasycznej metody najmniejszych kwadratów. Wykorzystano cztery interwały czasowe stóp zwrotu: dzienny, tygodniowy, dwutygodniowy i miesięczny. Różnice wartości współczynnika ß akcji podmiotów zakwalifikowanych do badania okazały się istotne statystycznie (przy weryfikacji testem t dla grup zależnych) we wszystkich wskazanych interwałach czasowych stóp zwrotu. Rezultaty świadczą o istotnej zmianie wartości współczynnika ß akcji największych spółek z GPW w trakcie pandemii COVID-19 w stosunku do lat wcześniejszych, co wskazuje na wyższy poziom ryzyka systematycznego tych spółek, uznawanych dotychczas (ze względu na swoją wielkość) za bezpieczniejsze. Uzyskane wyniki są zbieżne z rezultatami badań dotyczących światowych rynków kapitałowych.

16

Finansjalizacja a zmiany strukturalne na rynku towarów rolnych w pierwszych latach XXI w.

63%

Tomaszewski J. D.

Annales Universitatis Mariae Curie-Skłodowska, sectio H – Oeconomia

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2015

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vol. 49

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issue 4

EN

The main goal of the study is a critical review of the literature on the implications of financialization of agricultural commodity markets during the first decade of the XXIst century. Early studies suggest that inflow of speculative portfolio investments was the key driver of agricultural price increases and also contributed to the sharp increase in the co-movements of prices between agricultural sector and equity markets as well as oil market. Access to the more detailed investors data, available since 2010, as well as observations from post-crisis world economy, point to a much broader range of factors contributing to price formulation in agricommodity markets and to a much smaller influence of financial investors.

PL

Głównym celem publikacji jest krytyczny przegląd badań poświęconych implikacjom finansjalizacji rynku towarów rolnych w pierwszej dekadzie XXI w. Wczesne badania wskazywały, że napływ spekulacyjnego kapitału portfelowego był głównym czynnikiem napędzającym wzrost cen towarów rolnych oraz gwałtowny wzrost poziomu korelacji cen produktów rolnych z cenami akcji i ropy naftowej. Dostęp do bardziej szczegółowych danych na temat struktury inwestorów, uzyskany przez badaczy od 2010 r., jak również obserwacje zachowań rynku w okresie po globalnym kryzysie finansowym wskazują jednak na znacznie szersze spektrum czynników wpływających na kształtowanie cen towarów rolnych i znacznie mniej istotną rolę inwestycji portfelowych w tym procesie.

17

Prognozowanie stanu turbulencji dla instrumentu finansowego w perspektywie dziennej na podstawie modeli dla binarnej zmiennej zależnej

63%

Chlebus M.

Ekonomia. Rynek, Gospodarka, Społeczeństwo

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2014

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issue 37

127-147

PL

W artykule przedstawiono propozycję modeli prognozowania stanów dla instrumentu finansowego w horyzoncie jednodniowym. W badaniu poddano analizie modele zakładające: jeden z trzech modeli dla zmiennej binarnej (logitowy, probitowy oraz cloglog), cztery definicje zmiennej zależnej (20%, 10%, 5% oraz 1% najgorszych realizacji stopy zwrotu) oraz trzy różne zbiory zmiennych niezależnych (dane nieprzekształcone, główne składowe z analizy PCA oraz czynniki z analizy czynnikowej). Ponadto w badaniu przeprowadzono analizę wyboru optymalnego punktu odcięcia. Ocena modeli została wykonana na podstawie testów LR i Hosmera-Lemeshowa oraz analizy parametru GINI i kryterium KROC. Na podstawie wyników badania empirycznego ustalono dziewięć kombinacji założeń, dla których modele stanu turbulencji spełniają określone w badaniu wymogi formalne oraz charakteryzują się wysoką zdolnością prognostyczną i dyskryminacyjną.

EN

This paper proposes an approach to predict states (states of tranquillity and turbulence) for a financial instrument in a one-day horizon. The prediction is made using 3 different models for a binary variable (LOGIT, PROBIT, CLOGLOG), 4 definitions of a dependent variable (1%, 5%, 10%, 20% of worst realization of returns), 3 sets of independent variables (untransformed data, PCA analysis and factor analysis). Additionally an optimal cut-off point analysis is performed. The evaluation of the models was based on the LR test, Hosmer-Lemeshow test, GINI coefficient analysis and KROC criterion based on the ROC curve. Nine combinations of assumptions have been chosen as appropriate (any model for a binary variable, the dependent variable defined as 1%, 5% or 10% of worst realization of returns, untransformed data, 1%, 5% or 10% cut-off point respectively). Models built on these assumptions meet all the formal requirements and have a high predictive and discriminant ability.

18

Zmienność cen na globalnym rynku surowców a ryzyko banku

51%

Włodarczyk B.

Problemy Zarządzania

|

2017

|

issue 1/2017 (66), t.2

107 – 124

PL

W dotychczasowych badaniach zmienności na rynkach towarowych brano pod uwagę dynamikę zmienności cen wybranych towarów lub analizowano przenoszenie się w czasie zmienności z jednych towarów na inne. W tym celu wykorzystywano standardowe modele zmienności. Obecnie w ramach przeprowadzanych badań gromadzi się różnorodne charakterystyki zmienności towarów i ich grup w celu skompletowania metodycznego zestawu narzędzi o większej precyzji prognostycznej. Niestabilność cen na rynkach surowców istotnie wpływa na efektywność sfery realnej gospodarki. Surowce nie tylko są wykorzystane w przemyśle, ale też cieszą się dużym zainteresowaniem inwestorów w okresach dekoniunktury gospodarczej, będąc przedmiotem spekulacji. Można zatem stwierdzić, że oddziaływanie zmienności cen surowców na ryzyko banku opiera się na mechanizmie bezpośrednim (poprzez ryzyko rynkowe) i pośrednim (poprzez ryzyko kredytowe). W artykule zaprezentowano oba ujęcia, przy czym ryzyko rynkowe zostało metodycznie uwypuklone. Odpowiednie wyselekcjonowanie narzędzi prognozowania oraz zastosowanie właściwych instrumentów zabezpieczających to elementy skutecznej polityki zabezpieczeń ryzyka, które kształtują zarówno ryzyko rynkowe (oddziaływanie bezpośrednie), jak i ryzyko kredytowe banków (ujęcie pośrednie).

EN

Price volatility in raw material markets significantly affects the efficiency of real economy. Raw materials are not only used in the industry but are also very popular in periods of economic downturn. An appropriate prognosis of price volatility in these markets and their adequate security ensured by means of financial instruments can be a basis for avoiding many financial perturbations of enterprises, and consequently of financial institutions. Financial institutions, including banks, are exposed to credit and market risk, through the absorption of a part of market risk in a direct (investments in raw materials, transaction services) and indirect way (providing credit to entities in commodity markets). Selection of these prognosis tools as well as appropriate instruments securing prices, hence hedging the risk from the financial market, are elements of the risk hedging policy in the real sphere, which has an effect on the credit risk and investment. The aim of the article is the bank’s risk assessment in the context of price volatility in commodity markets. At the same time, the research problem was raised that refers to the way in which the variability of prices and rates of return in the commodity market is reflected in the level of the bank’s risk. An analysis of the asymmetry effect and long memory in the modelling and prognosis of conditional volatility and market risk on the commodity market was conducted in the article, taking petroleum as an example. GARCH and FIAPARCH models were used for that purpose. The analysis of the in-sample and out-of-sample prognosis showed that the variation of rates of return for oil is better described by a non-linear model of the variation using a long memory and asymmetry effect.

19

Zmiany wymogów regulacyjnych obowiązujących banki w Unii Europejskiej

32%

Kostecki H.

Bezpieczny Bank

|

2019

|

vol. 76

|

issue 3

8-28

EN

The article describes changes in regulatory requirements, introduced by way of revision of the CRR regulation and the CRD directive, for banks, which are conducting banking activities in the European Union. The author analyzes amendments in the regulatory framework and indicates the most important requirements from the banking sector’s perspective both in Poland and the European Union.

PL

W artykule scharakteryzowano zmiany w wymogach regulacyjnych dotyczących prowadzenia działalności bankowej w Unii Europejskiej, które zostały wprowadzone w drodze rewizji rozporządzenia CRR oraz dyrektywy CRD. Analizując znowelizowane przepisy Autor wskazuje na najbardziej istotne regulacje z perspektywy sektora bankowego w Polsce i Unii Europejskiej.

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Zmiany wymogów regulacyjnych obowiązujących banki w Unii Europejskiej