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Il giorno mercoledì 12 novembre alle 15:00 in Aula F, Palazzo delle Scienze, Via Ospedale, 72, il Dr. Michel DACOROGNA, Prime Re Solutions Partner, terrà il seguente seminario, nell'ambito del programma Visiting Professor/Scientist 2025, finanziato dalla LR 7/2007 della Regione Autonoma della Sardegna.

Titolo: A Dynamic Framework for Correcting Procyclicality in Risk Estimation

Abstract: In this talk, we investigate the presence and impact of procyclicality in the risk measurement  of financial portfolios and introduce a novel dynamical correction methodology to mitigate
its effects. Building on previous studies1 that analyzed procyclicality in stock indices, we extend  the analysis to a diversified portfolio comprising equities, bonds, commodities, and currencies. Using a range of risk estimation techniques for VaR, including Historical Simulation (HS) and its dynamic variants, we quantify procyclicality of the risk measurement through a look-forward ratio approach. 
Our findings confirm that procyclicality persists across different portfolio compositions and risk estimation methods, underscoring the need for a targeted correction mechanism. To address this, we propose a two-step dynamical correction framework: 
(1) a volatility-based adjustment to correct extreme risk estimates, ensuring a more responsive risk measure during periods of financial stress or in periods of very calm markets, and
(2) an indicator-based correction using the Composite Indicator for Systemic Stress (CISS) to dynamically adjust risk estimates in more stable conditions. 
By integrating these adjustments into risk models, we achieve a significant reduction in procyclicality by increasing the adaptability of risk assessment to changing market conditions. 
Our methodology enhances traditional risk estimation techniques by introducing a self-correcting mechanism, offering a more balanced approach between regulatory conservatism and dynamic market risk assessment.

Tutti gli interessati sono invitati a partecipare.