文章基本信息

标题：Mean-CoAVaR optimization for global banking portfolios
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作者：Tetsuo Kurosaki ; Young Shin Kim
期刊名称：Investment Management & Financial Innovations
印刷版ISSN：1810-4967
电子版ISSN：1812-9358
出版年度：2013
卷号：10
期号：2
页码：15-20
语种：English
出版社：LLC “Consulting Publishing Company “Business Perspectives”
摘要：This paper proposes mean-CoAVaR portfolio optimization to mitigate the potential loss caused by systematic risk. CoAVaR is a natural extension of CoVaR,and is defined as the average value at risk on the condition that the market index is in distress.In the same way as CoVaR,CoAVaR accounts for the extent of how affected the institution is by systematic distress.The authors expect that the potential loss of the portfolio arising from systematic risk is mitigated by minimizing the CoAVaR of the portfolio against the market index.The paper investigates the effectiveness of the mean-CoAVaR optimization by using the stocks of global systemically important financial institutions(G-SIFIs).The reason for choosing G-SIFI stocks as trial samples is that they are both highly interconnected and potentially affected by systematic risk.The joint stock return distribution is predicted by an autoregressive moving average generalized autoregressive conditional heteroscedasticity model with multivariate normal tempered stable distributed innovations, which is shown to be a better model for G-SIFI stocks in the authors'separate paper.Throughout the empirical study, the authors observe that the mean-CoAVaR portfolio incurs relatively smaller cumulative loss in most cases compared with the mean-AVaR and mean-variance portfolios.This implies that the mean-CoAVaR strategy is effective during a financial crisis.The results open the applicability of CoVaR methodology to risk management.
关键词：mean-CoAVaR optimization;ARMA-GARCH model;multivariate normal tempered stable distribution;portfolio selection;G-SIFIs;global banking stock markets.