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Article

Оценка рыночного риска на основе VaR с учетом дней ожидаемой повышенной волатильности.

Финансы и бизнес. 2018. Т. 14. № 3. С. 19-35.
Берзон Н. И., Смирнов А., Пилюгин Г. В.

Nowadays investors are facing changing conditions of global financial markets and should evaluate risks correctly. The most crucial factor is market risk that defines financial stability and investment results of professional participants at financial market and its clients. One of the characteristics of American stocks are higher volatility during financial report announcements. Common VaR methodology doesn’t take this into consideration as it lowers volatility during such periods and lowers it in other cases. Thereby a more flexible HVD-VaR model is proposed that allows risk estimation for each period separately. This can be possible due to the fact that announcement days are predefined. The proposed methodology is effective for a half of S&P500 stocks, so it’s useful for several financial instruments AS a result a more precise risk estimation method is proposed that considers extreme price movements caused by earnings announcement.