Essec\Faculty\Model\Contribution {#2188
  #_index: "academ_contributions"
  #_id: "13409"
  #_source: array:26 [
    "id" => "13409"
    "slug" => "pro-cyclicality-beyond-business-cycle"
    "yearMonth" => "2023-05"
    "year" => "2023"
    "title" => "Pro-cyclicality beyond business cycle"
    "description" => "BRÄUTIGAM, M., DACOROGNA, M. et KRATZ, M. (2023). Pro-cyclicality beyond business cycle. <i>Mathematical Finance</i>, 33(2), pp. 308-341."
    "authors" => array:3 [
      0 => array:3 [
        "name" => "KRATZ Marie"
        "bid" => "B00072305"
        "slug" => "kratz-marie"
      ]
      1 => array:1 [
        "name" => "BRÄUTIGAM Marcel"
      ]
      2 => array:1 [
        "name" => "DACOROGNA Michel"
      ]
    ]
    "ouvrage" => ""
    "keywords" => array:6 [
      0 => "Bahadur representation"
      1 => "estimation"
      2 => """
        financial risk management -\n
        joint asymptotic normality
        """
      3 => "market state"
      4 => "regulation"
      5 => """
        riskmeasure -\n
        statistics
        """
    ]
    "updatedAt" => "2023-06-13 17:31:48"
    "publicationUrl" => "https://onlinelibrary.wiley.com/doi/full/10.1111/mafi.12369"
    "publicationInfo" => array:3 [
      "pages" => "308-341"
      "volume" => "33"
      "number" => "2"
    ]
    "type" => array:2 [
      "fr" => "Articles"
      "en" => "Journal articles"
    ]
    "support_type" => array:2 [
      "fr" => "Revue scientifique"
      "en" => "Scientific journal"
    ]
    "countries" => array:2 [
      "fr" => null
      "en" => null
    ]
    "abstract" => array:2 [
      "fr" => "We show that pro-cyclicality is inherent in risk measure estimates based on historical data. Taking the example of VaR, we show that the empirical VaR measure is mean-reverting over a 1-year horizon when the portfolio is held fixed. It means that a capital requirement rule based on historical measurements of VaR tends in calm times to understate future required capital and tends in volatile times to overstate it. To quantify this pro-cyclicality, we develop a simple and efficient methodology, which we apply to major equity market indices. We make the interesting point that the pro-cyclicality property holds true even in a world with constant volatility, though the empirical magnitude of the mean-reversion is greater than what would be observed in that special case."
      "en" => "We show that pro-cyclicality is inherent in risk measure estimates based on historical data. Taking the example of VaR, we show that the empirical VaR measure is mean-reverting over a 1-year horizon when the portfolio is held fixed. It means that a capital requirement rule based on historical measurements of VaR tends in calm times to understate future required capital and tends in volatile times to overstate it. To quantify this pro-cyclicality, we develop a simple and efficient methodology, which we apply to major equity market indices. We make the interesting point that the pro-cyclicality property holds true even in a world with constant volatility, though the empirical magnitude of the mean-reversion is greater than what would be observed in that special case."
    ]
    "authors_fields" => array:2 [
      "fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
      "en" => "Information Systems, Decision Sciences and Statistics"
    ]
    "indexedAt" => "2024-04-24T18:22:07.000Z"
    "docTitle" => "Pro-cyclicality beyond business cycle"
    "docSurtitle" => "Journal articles"
    "authorNames" => "<a href="/cv/kratz-marie">KRATZ Marie</a>, BRÄUTIGAM Marcel, DACOROGNA Michel"
    "docDescription" => "<span class="document-property-authors">KRATZ Marie, BRÄUTIGAM Marcel, DACOROGNA Michel</span><br><span class="document-property-authors_fields">Information Systems, Decision Sciences and Statistics</span> | <span class="document-property-year">2023</span>"
    "keywordList" => """
      <a href="#">Bahadur representation</a>, <a href="#">estimation</a>, <a href="#">financial risk management -\n
      joint asymptotic normality</a>, <a href="#">market state</a>, <a href="#">regulation</a>, <a href="#">riskmeasure -\n
      statistics</a>
      """
    "docPreview" => "<b>Pro-cyclicality beyond business cycle</b><br><span>2023-05 | Journal articles </span>"
    "docType" => "research"
    "publicationLink" => "<a href="https://onlinelibrary.wiley.com/doi/full/10.1111/mafi.12369" target="_blank">Pro-cyclicality beyond business cycle</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 8.910675
  +"parent": null
}