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Fax: (84-B) 3821 4661

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Risk with Value-at-Risk and Expected Shortfall) @6n t6m t6t (Abstract) cira bdi nghiOn criu dugc dinh kdm v6i th6ng b6o ndy)

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MEASURING MARKET RISK WITH VALUE-AT-RISK AND EXPECTED SHORTFALL Abstract: Measuring the impact of price changes is a crucial issue to risk management and its regulatory frameworks. Since Basel 1.5 Value-at-Risk (VaR) is the main tool to assess systematic and idiocractic risk of assets in a bank’s trading book. However, in its latest release Basel IV, replaces VaR with Expected Shortfall (ES). While VaR measures a loss which is not exceeded given a certain probability, the ES provides the average loss which occurs if the VaR is violated. Thus, the ES contains more information. Both measures, are used to calculated the minimum capital requirements for a bank. In a case study, we show different procedures to calculate the VaR and ES of an investment in the VN-Index (Historical and Monte-Carlo Simulation, GARCH modelling). Finally, we present a way to back test the estimation procedures.

THOMAS WALTHER CURRICULUM VITAE Technische Universität Dresden Faculty of Business and Economics Department of Finance and Financial Services D-01062 Dresden Tel.: Fax : Room: E-Mail: Date of Birth: Nationality: Languages:

+49 (351) 463-34628 +49 (351) 463-35404 HÜL N 213 [email protected] June 11, 1986 German German (native), English (fluent), Spanish (good), French (basic), Vietnamese (basic)

C URRENT P OSITION 2013-present

Research Associate at Chair of Finance and Financial Services, Technische Universität Dresden, Germany

P REVIOUS & V ISITING P OSITIONS 2016

Visiting Researcher at School of Business, International University – National University of Ho Chi Minh City, Ho Chi Minh City, Vietnam (January-October)

2011-2013

Student Assistant at Chair of Finance and Financial Services, Technische Universität Dresden, Germany

E DUCATION 2014-present

Studies of Business and Economics (Dr. rer. pol./PhD), Technische Universität Dresden, Germany, Dissertation: “Essays on Financial Econometrics: With Applications to Commodity, Equity, and Foreign Exchange Markets”, Supervisors: Hermann Locarek-Junge & Bernhard Schipp

2012

Studies abroad of Business Administration, Universidad de Cantabria, Santander, Spain

2011-present

Studies of Mathematics (B.Sc.), FernUniversität Hagen

2010-2013

Studies of Industrial Engineering and Management (M.Sc.), Technische Universität Dresden, Germany

2007-2010

Studies of Industrial Engineering and Management (B.Sc.), Technische Universität Dresden, Germany

Ver. 2017-07-11

1

CV Thomas Walther

P ROFESSIONAL A CTIVITY 2016-present

Chair men, nexus – alumni association of the Faculty of Business and Economics, Technische Universität Dresden (300+ members)

2013-present

Consultant, IHT EnergieService GmbH

2011-2013

Working Student, IHT EnergieService GmbH

2007-2011

Working Student, Ingenieurgesellschaft Haus-Technik mbH

2005-2007

Military Service, with deployment in Afghanistan (3 months)

RESEARCH R ESEARCH I NTERESTS Financial Econometrics, Energy & Commodity Finance, International Finance, Risk Management

P UBLICATIONS R EFEREED J OURNAL A RTICLES 1. Walther, Thomas; Klein, Tony; Pham Thu, Hien; Piontek, Krzysztof (2017): True or Spurious Long Memory in European Non-EMU Currencies, in: Research in International Business and Finance, Vol. 40C, pp. 217-230. DOI: 10.1016/j.ribaf.2017.01.003 2. Walther, Thomas (2017): Expected Shortfall in the Presence of Asymmetry and Long Memory: An Application to Vietnamese Stock Markets, in: Pacific Accounting Review, Vol. 29, No. 2, pp. 132-151. DOI: 10.1108/PAR-06-2016-0063 3. Klein, Tony; Walther, Thomas (2017): Fast Fractional Differencing in Modeling Long Memory of Conditional Variance for High-Frequency Data, in: Finance Research Letters, Vol. 22C, pp. 274-279. DOI: 10.1016/j.frl.2016.12.020. 4. Lauenstein, Philipp; Walther, Thomas (2016): Forecasting Volatility of Tanker Freight Rates Based on Asymmetric Regime-Switching GARCH Models, in: International Journal of Financial Engineering and Risk Management, Vol.2, No. 3, pp. 172-199. DOI: 10.1504/IJFERM.2016.082978. 5. Klein, Tony; Walther, Thomas (2016): Oil Price Volatility Forecast with Mixture Memory GARCH, in: Energy Economics, Vol. 58, pp. 46-58. DOI: 10.1016/j.eneco.2016.06.004. 6. Walther, Thomas; Klein, Tony (2015): Contingent Convertible Bonds and their Impact on RiskTaking of Managers, in: Cuadernos de Economía - Spanish Journal of Economics and Finance, Vol. 38, No. 106, pp. 54–64. DOI: 10.1016/j.cesjef.2014.09.001. R EFEREED C ONFERENCE P ROCEEDINGS 1. Schuster, Martin; Walther, Thomas (2017): Valuation of Combined Wind Power Plant and Hydrogen Storage: A Decision Tree Approach, in: IEEE Xplore: Proceedings of the 14th International Conference on the European Energy Market (EEM), Dresden 2017, forthcoming. 2

CV Thomas Walther 2. Klein, Tony; Pham Thu, Hien; Walther, Thomas (2016): Empirical Evidence of Long Memory and Asymmetry in EUR/PLN Exchange Rate Volatility, in: Research Papers of Wroclaw University of Economics: Wroclaw Conference in Finance 2015: Contemporary Trends and Challenges, No. 428, pp. 128-140. DOI: 10.15611/pn.2016.428.11.

M ANUSCRIPTS IN P REPARATION 1. Identifying the Long-term Volatility Drivers of Commodity Markets (with Duc Khuong Nguyen) 2. Oil Price Shocks and the Macro-Economy: Is this Time Different? (with Lanouar Charfeddine and Tony Klein) O THER P UBLICATIONS 1. Locarek-Junge, Hermann; Walther, Thomas (2017): Markov-Regime-Switching-Modelle in der Finanzwirtschaft, in: WiSt – Wirtschaftswissenschaftliches Studium, Vol. 46, No. 1, pp. 4-9. DOI: 10.15358/0340-1650-2017-01-4. 2. Locarek-Junge, Hermann; Walther, Thomas (2014): Risiken auf dem langen Weg nach Basel III: Regulierung und Aufsicht im Finanzsystem, in: AKADEMIE, Vol. 59, No. 1, pp. 3-8. 3. Locarek-Junge, Hermann; Klein, Tony; Walther, Thomas (2014): GARCH-Modelle, in: WISU – Das Wirtschaftsstudium, Vol. 43, No. 11, pp. 1348-1354, 1387.

P RESENTATIONS I NTERNATIONAL C ONFERENCES & R ESEARCH S EMINARS (Presentations of co-authors are indicated with *; presentations in italic are accepted talks)

2017

Identifying the Long-term Volatility Drivers of Commodity Markets, 6th International Ruhr Energy Conference (INREC), Essen, Germany, 12-13 September Oil Price Shocks and the Macro-Economy: Is this Time Different?, 6th International Ruhr Energy Conference (INREC), Essen, Germany, 12-13 September* Valuation of Combined Wind Power Plant and Hydrogen Storage: A Decision Tree Approach, 14th International Conference on the European Energy Market, Dresden, 9 June* Identifying the Long-term Volatility Drivers of Commodity Markets, 5th International Symposium on Environment and Energy Finance, Paris, France, 22 May Identifying the Long-term Volatility Drivers of Commodity Markets, HypoVereinsbank PhD Seminar, Berlin, Germany, 7 April

2016

Identifying the Long-term Volatility Drivers of Commodity Markets, 2nd Joint Seminar on Finance, Dresden, Germany, 2 December Fast Fractional Differencing in Modeling Long Memory of Conditional Variance, 43rd Macromodels International Conference, Lodz, Poland, 15 November

3

CV Thomas Walther True or Spurious Long Memory in European Non-EMU Currencies, 43rd Macromodels International Conference, Lodz, Poland, 15 November* True or Spurious Long Memory in European Non-EMU Currencies, HypoVereinsbank PhD Seminar, Berlin, Leipzig, 21 October True or Spurious Long Memory in European Non-EMU Currencies, 2nd Wrocław Conference in Finance, Wroclaw, Poland, 28 September Fast Fractional Differencing in Modeling Long Memory of Conditional Variance, Statistische Woche, Augsburg, Germany, 13 September Forecasting Volatility of Tanker Freight Rates Based on Asymmetric RegimeSwitching GARCH Models, Energy & Commodity Finance Conference, Paris, France, 24 June Fast Fractional Differencing in Modeling Long Memory of Conditional Variance, 3rd Vietnam International Conference in Finance, Da Nang, Vietnam, 10 June Expected Shortfall in the Presence of Asymmetry and Long Memory: An Application to Vietnamese Stock Markets, 3rd Vietnam International Conference in Finance, Da Nang, Vietnam, 9 June Fast Fractional Differencing in Modeling Long Memory of Conditional Variance, HSC Seminar on Stochastic and Numerical Methods, Wroclaw University of Technology, Poland, 25 May* Expected Shortfall in the Presence of Asymmetry and Long Memory: An Application to Vietnamese Stock Markets, 1st Joint Seminar on Finance, Wroclaw, 24 May Forecasting Volatility of Tanker Freight Rates Based on Asymmetric RegimeSwitching GARCH Models, HypoVereinsbank PhD Seminar, Halle, Germany, 22 April Fast Fractional Differencing in Modeling Long Memory of Conditional Variance, Workshop of the German Operations Research Society (GOR e.V.), WG FIFI, Augsburg, Germany, 4 April* 2015

Revisiting Contingent Convertible Bonds and its Impact on Risk-Taking of Managers: A First-Passage Time Approach, 5th Workshop Banking and Financial Markets, Augsburg, Germany, 12 November Revisiting Contingent Convertible Bonds and its Impact on Risk-Taking of Managers: A First-Passage Time Approach, HypoVereinsbank PhD Seminar, Riga, Latvia, 3 October Empirical Evidence of Long Memory and Asymmetry in the EUR/PLN Exchange Rate Volatility, 1st Wroclaw Conference in Finance, Wroclaw, Poland, 23 September Empirical Evidence of Long Memory and Asymmetry in the EUR/PLN Exchange Rate Volatility, Science meets Social Science (S3) Seminar, Wroclaw University of Technology, Poland, 22 September Oil Price Volatility Forecast with Mixture Memory GARCH, Energy Finance Conference, London, United Kingdom, 10 September*

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CV Thomas Walther Oil Price Volatility Forecast with Mixture Memory GARCH, International Ruhr Energy Conference, Essen, Germany, 25 March*

S ERVICES 2017

Session Chair, 14th International Conference on the European Energy Market, Dresden, 8 June

2016

Organisation, 2nd Joint Seminar on Finance, Dresden, Germany, 2 December Discussant, 2nd Wrocław Conference in Finance, Wroclaw, Poland, 28 September Discussant, Energy & Commodity Finance Conference, Paris, France, 24 June 2x Discussant, 3rd Vietnam International Conference in Finance, Da Nang, Vietnam, 10 June Organisation, 1st Joint Seminar on Finance, Wroclaw, 24 May Organisation, PhD Workshop on Quantitative Methods in Economics, Dresden, Germany, 9 May

2015

Organisation, PhD Workshop on Quantitative Methods in Economics, Dresden, Germany, 17 December Discussant, 5th Workshop Banking and Financial Markets, Augsburg, Germany, 12 November

2014

Organisation, HypoVereinsbank PhD Seminar, Dresden, Germany, 26-27 October

R EFEREE A CTIVITIES A CADEMIC J OURNALS Journal of International Financial Markets, Institutions and Money; International Review of Economics and Finance; Olsztyn Economic Journal

C ONFERENCES Wroclaw International Conference in Finance (2015, 2016)

A WARDS & G RANTS Best Paper Award for "True or Spurious Long Memory in European Non-EMU Currencies" at Macromodels International Conference, Lodz (2016, Poland) Certificate of Appreciation for "True or Spurious Long Memory in European Non-EMU Currencies" at Wroclaw Conference in Finance (2016, Poland) 5

CV Thomas Walther Funding for International Projects from the School of Humanities and Social Science, Technische Universität Dresden, for project initiation and planning with Vietnamese universities (EUR 600) Travel Grant of the Graduate Academy, Technische Universität Dresden, financed by the Exzellenzinitiative des Bundes und der Länder, to participate at the 3rd Vietnam International Conference in Finance, Da Nang (2016, Vietnam, EUR 1500) Prize of the Deutsche Bundesbank Regional Office in Saxony and Thuringia to support research stays abroad (2015, EUR 1500)

M EMBERSHIPS German Finance Association (DGF), German Operations Research Society (GOR), European Finance Association (EFA), International Association of Energy Economics (IAEE), Society for Financial Econometrics (SoFiE)

P ROFESSIONAL C ONTACTS Deutsche Bank Risk Center, Ost-Sächsische Sparkasse, Union Investment, zeb Consultency, innogy, European Stability Mechanism, Engie Deutschland

TEACHING T EACHING E XPERIENCE M ASTER Wertpapiermanagement (German, 50 students): Tutorial (2011/12) Mergers & Acquisitions (German, 20 students): Seminar (2013/14, 2014/15) Empirical & Corporate Finance (English, 15 students): Seminar (2015/16, 2016/17) Financial Econometrics with R (English, 15 students): Lecture (2015/16, 2016) Applied Finance with R (English, 5 students): Seminar (2015/16, 2016/17)

B ACHELOR Grundlagen des Finanzmanagements (German, 100 students): Lecture (2015, 2017), Tutorial (2013, 2014, 2015, 2016, 2017) Instrumente des Finanzmanagements (German, 50 students): Lecture (2014/15), Tutorial (2011/12, 2012/13, 2013/14, 2014/15, 2015/16, 2016/17) Wissenschaftliches und praktisches Arbeiten (German, 30 students): Seminar (2015, 2015/16, 2016/17)

V ISITING L ECTURES Volatility Models in Discrete Time (English, Bachelor, 50 students), International University – National University Ho Chi Minh City, Vietnam, 2016 6

CV Thomas Walther Contingent Convertible Bonds – An Introduction (English, Master, 20 students), Universidad de Autónoma de Madrid, Spain, 2014

S UPERVISED T HESES M ASTER T HESES 1. Regime Dependent Liquidity (2017, on-going) 2. Parameter stability of asymmetric GARCH models for oil price returns (2016) 3. Valuation of a combined wind power plant with hydrogen storage – A decision tree approach (2016) 4. Regime switching models in finance (2015) 5. Impact of bankruptcy risk on firm valuation (2014) 6. Practices of risk disclosure: Empirical analysis of European energy utilities (2014)

B ACHELOR T HESES 1. Green Bonds, (2017, on-going) 2. Executive Compensation of DAX firms, (2017, on-going) 3. Value-at-Risk and Expected Shortfall: Regulatory market risk quantification (2017) 4. Myth, clichés, and reality – Depiction of Finance in movies (2015) 5. Success factors of Mergers & Acquisitions transactions (2015) 6. Islamic Banking – A critical review (2014) 7. The oil price and the equity market – An empirical analysis (2014) 8. The impact of base discount rate on firm valuation (2014)

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