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Market Risk Assessment on Packaged Retail and Insurance-based Investment Products

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International Hellenic University   

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Institutional Repository of the International Hellenic University   

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Market Risk Assessment on Packaged Retail and Insurance-based Investment Products (EN)
Kokoris, Athanasios (EN)
Archontakis, Fragiskos (EL)
Fragiskos, Archontakis (EL)
Grose, Christos (EL)
SIkalidis, Alexandros (EL)
masterThesis
2017-11-30
2018-04-23T11:30:50Z
2018-04-24T00:00:14Z
2018-04-23
The purpose of this research is to clarify whether the methodology proposed by the European Supervisory Authorities (ESAs) within Delegated Regulation (EU) 2017/653 for the calculation of market risk of certain Packaged Retail and Insurance-based Investment Products (PRIIPs) is a valid one. More specifically, ESAs have announced that the Unit-Linked products which are labeled as Category II PRIIPs, will be subject to the Cornish-Fisher Value-at-Risk (CFVaR) methodology for their market risk assessment. Since the regulations drafted by ESAs regarding PRIIPs are relatively new, the difficulty of this thesis lies in the fact that there is scant literature on the subject under investigation. Five risk models are put into test in order to validate the appropriateness of the methodology announced by ESAs. Initially, Historical Value-at-Risk and Expected Shortfall are employed as the most simplistic methods. However, these methods cannot incorporate the possibility of financial instability. In order to tackle this barrier, the Cornish-Fisher expansion is introduced. Both CFVaR as proposed by ESAs and the classic CFVaR as described in certain academic papers show that Cornish-Fischer is a more robust model than the simpler ones. However, when Cornish-Fischer Expected Shortfall (CFES) is applied, two strong points are formed. Firstly, it is observed that only in half of the cases Cornish-Fischer can be considered a reliable method and secondly the CFES is a more coherent risk measure than CFVaR. According to the results, it is assumed that the Cornish-Fischer expansion is unable to accurately estimate the market risk of Unit-Linked products when excessive fat-tailed or non-symmetrical distributions are present. Finally, it is proposed that a different methodology could be also looked into by the regulatory bodies which will capture the excessive values of products in financial distress. (EN)
Risk management--Econometric models
Risk management
Expected Shortfall (EN)
Value-at-Risk (EN)
PRIIPs (EN)
Cornish-Fischer (EN)
Αγγλική γλώσσα
School of Economics, Business Administration and Legal Studies, MSc in Banking and Finance
IHU (EN)
Default License
International Hellenic University
Institutional Repository of the International Hellenic University
University Center of International Programmes of Studies (UCIPS)
Master Theses



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