Value at risk e a crise financeira

O artigo abaixo tenta modelar os impactos do uso do Value at risk (VaR) na gestão de riscos pelo sistema bancário na crise financeira de 2008. O grande problema do Var é que ele considera que cada banco está isolado no seu iniverso. No entanto, como todos os bancos tem que usar essa métrica, as movimentações de compra e venda necessárias para alcançar as metas de riscos de cada banco dadas pelo VaR podem destabilizar o mercado. Ou seja, o VaR não leva em conta as interações entre os agentes.

Os autores simularam um sistema bancário em que, quando permitem que os bancos tomem pequenos riscos, o sistema bancário fica estável. No entanto, quando permitem que os bancos tomem mais riscos (ou quando o sistema bancário cresce), o mercado entra num período de grande oscilação, em que , num primeiro momento, a alavancagem e os preços sobem lentamente
e a volatilidade cai lentamente. E, em seguida, a volatilidade dispara e os preços e alavangem despencam, assim como na crise de 2008.

Os autores propõem que a melhor de política de gestão de riscos tem que levar em conta o tamanho do mercado bancário e da quantidade de risco que cada banco toma.

Resumo:

We investigate a simple dynamical model for the systemic risk caused by the use of Value-at-Risk, as mandated by Basel II. The model consists of a bank with a leverage target and an unleveraged fundamentalist investor subject to exogenous noise with clustered volatility. The parameter space has three regions: (i) a stable region, where the system has a fixed point equilibrium; (ii) a locally unstable region, characterized by cycles with chaotic behavior; and (iii) a globally unstable region. A calibration of parameters to data puts the model in region (ii). In this region there is a slowly building price bubble, resembling the period prior to the Global Financial Crisis, followed by a crash resembling the crisis, with a period of approximately 10–15 years. We dub this the Basel leverage cycle. To search for an optimal leverage control policy we propose a criterion based on the ability to minimize risk for a given average leverage. Our model allows us to vary from the procyclical policies of Basel II or III, in which leverage decreases when volatility increases, to countercyclical policies in which leverage increases when volatility increases. We find the best policy depends on the market impact of the bank. Basel II is optimal when the exogenous noise is high, the bank is small and leverage is low; in the opposite limit where the bank is large and leverage is high the optimal policy is closer to constant leverage. In the latter regime systemic risk can be dramatically decreased by lowering the leverage target adjustment speed of the banks. While our model does not show that the financial crisis and the period leading up to it were due to VaR risk management policies, it does suggest that it could have been caused by VaR risk management, and that the housing bubble may have just been the spark that triggered the crisis.

Aymanns, C., et al., Taming the Basel leverage cycle. J. Financial Stability (2016), http://dx.doi.org/10.1016/j.jfs.2016.02.004