Risk appetite estimation on financial markets
| Thesis title in Czech: | Odhad sklonu k riziku na finančních trzích |
|---|---|
| Thesis title in English: | Risk appetite estimation on financial markets |
| Key words: | sklon k riziku, averze k riziku, tržní nálada, finanční trhy |
| English key words: | risk appetite, risk aversion, market sentiment, financial markets |
| Academic year of topic announcement: | 2011/2012 |
| Thesis type: | Bachelor's thesis |
| Thesis language: | angličtina |
| Department: | Institute of Economic Studies (23-IES) |
| Supervisor: | doc. PhDr. Adam Geršl, Ph.D. |
| Author: | hidden - assigned by the advisor |
| Date of registration: | 08.06.2011 |
| Date of assignment: | 08.06.2011 |
| Date and time of defence: | 17.06.2013 00:00 |
| Venue of defence: | IES |
| Date of electronic submission: | 13.05.2013 |
| Date of proceeded defence: | 17.06.2013 |
| Opponents: | Mgr. Adrian Babin, M.A. |
| References |
| 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. |
| Preliminary scope of work |
| 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. |
| Preliminary scope of work in English |
| 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. |