An Econometric Approach to Financial Crisis Management.

The paper is structured on three levels, namely: the first level presents the current financial crisis: nature, occurrence, global context, chronology. In this context there are presented both the source of the current global crisis, namely the United States of America, but also the present situation in Romania. Moreover, it is presented a chronological scheme of the current global crisis. The second level presents the role of the Basel II Agreement in the stimulation of the risk management along the financial crisis. The Basel II Agreement has forced banks and other authorized financial institutions to communicate at the beginning of each day the daily estimated risk to the nearest monetary authority using one or more models to measure the Value-at-Risk (VaR) . The third level emphasizes the risk management of the banking system. The model studied in this paper is Value-at-Risk and it shows the most adverse expected loss for a certain time horizon and a certain level of confidence, being underlined in the paper various methods to calculate the Value-at-Risk. The essence of the Value-at-Risk model consists in the prediction of the biggest expected loss for a given portfolio. Also, the Value-at-Risk instruments, like the marginal VaR analyzed and calculated in this case study, are very important for the management of credit risk. Marginal VaR can be very useful for portfolio diversification and also for the reduction of the risk met. [ABSTRACT FROM AUTHOR]