Optimizing the Value-at-Risk Measure in European Countries to Better Quantify Market Risk in Banking Industry in Sweden

DOI

10.2991/icemw-18.2018.3How to use a DOI?

Keywords

Market Risk, Value-at-Risk (VaR), Stress Market Conditions, Banking Crisis, Asset Portfolio, Risk Model, Banks in Sweden

Abstract

Market conditions can change rapidly. Empirical evidences from Europe markets show that there can be several years between risk being taken, revenues being generated, and losses flowing through. This is the lesson that the recent financial crisis of 2008 taught us. Stress market conditions in Europe can be extreme in their development and violent in their impact. The financial markets in Europe are always testing new financial products and new banking practices. In this regard, banks in Sweden operate in a challenging environment of competitiveness and complexity. New financial products and new banking practices in Europe markets bring new risk and increase the impact and frequency of existing risks. Therefore, it is highly important to back the risk profile of banks with sophisticated risk models. Risk models pose a problem to any bank. The recommendations set out in this paper to optimize the Value-at-Risk model would help banks in Europe markets to adopt for the complexity of risk, the unpredictability of adverse events, the severity of stress market conditions, and the sophistication of the contemporary banking industry.

Copyright

© 2018, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - F. Akhmedov
AU  - Mhd Shaker Zeitoun
PY  - 2018/08
DA  - 2018/08
TI  - Optimizing the Value-at-Risk Measure in European Countries to Better Quantify Market Risk in Banking Industry in Sweden
BT  - Proceedings of the International conference "Economy in the modern world" (ICEMW 2018)
PB  - Atlantis Press
SP  - 12
EP  - 16
SN  - 2352-5428
UR  - https://doi.org/10.2991/icemw-18.2018.3
DO  - 10.2991/icemw-18.2018.3
ID  - Akhmedov2018/08
ER  -