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Abstracts
Résumé
Dans cette note, nous modélisons les nouveaux aspects quantitatifs de la gestion du risque de marché des banques que Bâle a décidé en 2016 et mis en vigueur en janvier 2019. Le risque de marché est mesuré par la valeur à risque conditionnelle, ou CVaR, à un degré de confiance de 97,5 %. Le backtest réglementaire reste, en grande partie, basé sur la VaR à 99 %. De plus, à titre de procédures statistiques supplémentaires comme suggéré par Bâle, des backtests complémentaires sur la VaR et la CVaR doivent être effectués. Nous appliquons ces tests sur différentes distributions paramétriques et utilisons des mesures non paramétriques de la CVaR, dont la CVaR- et la CVaR+ comme compléments de validation des distributions utilisées. Nos données sont relatives à une période de turbulences extrêmes des marchés. Avec huit distributions paramétriques mises à l’épreuve par ces données, nos résultats montrent que l’information obtenue sur leurs performances empiriques est très liée aux conclusions des backtests des modèles.
Mots-clés :
- Bâle,
- VaR,
- CVaR,
- Backtest,
- Modèle paramétrique,
- Modèle non paramétrique,
- Mélange de distributions,
- Distribution à queue épaisse
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Appendices
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