Risk appetite estimation on financial markets
| Název práce v češtině: | Odhad sklonu k riziku na finančních trzích |
|---|---|
| Název v anglickém jazyce: | Risk appetite estimation on financial markets |
| Klíčová slova: | sklon k riziku, averze k riziku, tržní nálada, finanční trhy |
| Klíčová slova anglicky: | risk appetite, risk aversion, market sentiment, financial markets |
| Akademický rok vypsání: | 2011/2012 |
| Typ práce: | bakalářská práce |
| Jazyk práce: | angličtina |
| Ústav: | Institut ekonomických studií (23-IES) |
| Vedoucí / školitel: | doc. PhDr. Adam Geršl, Ph.D. |
| Řešitel: | skrytý - zadáno vedoucím/školitelem |
| Datum přihlášení: | 08.06.2011 |
| Datum zadání: | 08.06.2011 |
| Datum a čas obhajoby: | 17.06.2013 00:00 |
| Místo konání obhajoby: | IES |
| Datum odevzdání elektronické podoby: | 13.05.2013 |
| Datum proběhlé obhajoby: | 17.06.2013 |
| Oponenti: | Mgr. Adrian Babin, M.A. |
| Seznam odborné literatury |
| Illing, M. and M. Aaron. 2005. ‘‘A Brief Survey of Risk-Appetite Indexes.’’ Bank of Canada Financial System Review (June): 37–43
Kumar, Persaud: Pure Contagion and Investors’ Shifting Risk Appetite: Analytical Issues and Empirical Evidence, IMF Working Paper (2002) Gai, Vause: Measuring Investors’ Risk Appetite, Bank of England (2005) WOOLDRIDGE, Jeffrey M.: Introductory Econometrics: A Modern Approach, 3rd International Student Edition, 2006, 890 s,. ISBN 0-324-32348-4. Coudert, V and M Gex (2006): “Can risk aversion indicators anticipate financial crises?” Banque de France Financial Stability Review, no 9, December, pp 67–87 Misina, M (2003): “What does the risk-appetite index measure?” Bank of Canada Working Paper 2003-23, August. Misina, M (2006): “Benchmark index of risk appetite”, Bank of Canada Working Paper 2006-16, May. |
| Předběžná náplň práce |
| In this work I would like to gather most known and favourite risk appetite estimators. Specific emphasis will be appointed to the class of GRAI indicators. These are the indicators that build on the work of (Kumar and Persaud, 2002). They have been further developed by process of ortogonalization into so called RAI-MI by (Misina, 2003), (Misina, 2006) and further by “normalization-plus” into FGRAI by (Uhlenbrock, 2009) and some others. Other approaches to a risk appetite assessment will be commented, too. The crucial role of risk appetite understanding will be discussed and also some behavioural models of risk perception will be shown in the end.
In my empirical part I would to focus on the role of GRAI estimators in crisis forecasts. Meaningful focus will be also brought onto the question of their role as an independent variable in macro-level models explaining capital flows in appointed countries. |
| Předběžná náplň práce v anglickém jazyce |
| In this work I would like to gather most known and favourite risk appetite estimators. Specific emphasis will be appointed to the class of GRAI indicators. These are the indicators that build on the work of (Kumar and Persaud, 2002). They have been further developed by process of ortogonalization into so called RAI-MI by (Misina, 2003), (Misina, 2006) and further by “normalization-plus” into FGRAI by (Uhlenbrock, 2009) and some others. Other approaches to a risk appetite assessment will be commented, too. The crucial role of risk appetite understanding will be discussed and also some behavioural models of risk perception will be shown in the end.
In my empirical part I would to focus on the role of GRAI estimators in crisis forecasts. Meaningful focus will be also brought onto the question of their role as an independent variable in macro-level models explaining capital flows in appointed countries. |