My research discussed the essential part of Basel regulations, which is calculating the regulatory capital of bank portfolios using the... Show moreMy research discussed the essential part of Basel regulations, which is calculating the regulatory capital of bank portfolios using the asymptotic single risk factor model (ASRF) under the internal rating-based approach (IRB). I’m trying to analyze whether the regulatory model is strong enough to measure the credit risk of banks portfolios accurately. Is the model capable of reflecting and controlling the concentration risk involved in bank portfolios? By relaxing the single factor assumption, there are models and methods to calculate unexpected loss (defined as VaR) and required capital. In my research, I propose and validate the models in different scenarios and evaluate whether they can effectively catch the tail risk of bank portfolios without overcharging required capital. My research proved that ASRF lacks the sensitivity to capture sector concentration risk. There are advantages, as well as shortcomings of each multifactor model. I propose that banks include the appropriate multifactor model in the risk management process based on their portfolios' characteristics. The result and related discussion will also contribute to addressing the conflict of banks' profitability and risk control under the Basel regulatory framework. Show less
The paper gives an empirical analysis with the U.S. futures market data on how High Frequency Trading, HFT can improve the information... Show moreThe paper gives an empirical analysis with the U.S. futures market data on how High Frequency Trading, HFT can improve the information efficiency of asset prices. Various analyses were conducted to determine the degree of efficiency of information in futures high-frequency trading. The paper tries to explain the effect of high-frequency trading on the efficiency of the market in various ways and tries to propose stepping stones for developing a new market analysis measure.The research builds a coherent framework for analyzing both linear and non-linear market efficiency and applies it to a variety of futures contracts using high- frequency data.
The major finding of this paper is that market efficiency levels vary widely over time depending on market characteristics. The paper also finds that HFT activities are higher when the market is inefficient.
The paper analyzes the relationship between high frequency trading activities and market efficiency and discovers the mechanism. The story that HFT activity responds to market efficiency needs is especially strong in the E-mini, S&P500 futures contract. Show less
