Download (3187Kb) - Острозька академія

Фінансова система України. Частина 1. 13of very small changes and as well very big changes, but too fewinbetween: [24]That these questions are a concernfor central bankersshows a remark ofthe FED in the aftermath of the Asiancrisis, when Greenspanexpressed aswell doubts aboutthe appropriatenessof the standard theory regarding crisissce narios:,,History tells usthat sharp reversalsin confidence happenabruptly, most often with little advance notice. They are selfreinforcingprocesses that can compress into a very short timeperiod. Panic market reactions are characterized by a dramaticshift to maximize short term value, and are an extension of humanbehavior that manifests itself in all forms of human interaction--a set of responses that does not seem to have changed over thegenerations. I defy anyone to distinguish a speculative price patternfor 1999 from one for 1899 if the charts specify neither the datesnor the levels of the prices.If this paradigm turns out to be the appropriate representationof the way our economy and our financial markets will work inthe future, it has significant implications for risk management.Probability distributions estimated largely, or exclusively, overcycles excluding periods of panic will underestimate the probabilityof extreme price movements because they fail to capture a secondarypeak at the extreme negative tail that reflects the probability ofoccurrence of a panic. Furthermore, joint distributions estimatedover panicless periods will underestimate the degree of correlationbetween asset returns during panics when fear and disengagementby investors results in simultaneous declines (or, in rare instances,increases) in values as investors no longer adequately differentiateamong degrees of risk and liquidity. Consequently, the benefits ofportfolio diversification will tend to be significantly overestimatedby current models’’ [25].10 years after the Asian crisis started with the devaluation