Market and model risks: a feasible joint estimate methodology

González‑Sánchez, Mariano, Ibáñez Jiménez, Eva M. y Segovia San Juan, Ana I. . (2022) Market and model risks: a feasible joint estimate methodology. Risk Management, Volume 24,(2), pages 22-37, (2022)

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Título Market and model risks: a feasible joint estimate methodology
Autor(es) González‑Sánchez, Mariano
Ibáñez Jiménez, Eva M.
Segovia San Juan, Ana I.
Materia(s) Economía
Abstract The increasing complexity of stochastic models used to describe the behavior of asset returns along with the practical difficulty of defining suitable hedging strategies are relevant factors that compromise the soundness and quality of risk measurement models. In this paper we define the risk model as the mispricing a consequence of using an inadequate model to describe asset behavior and we develop a least-squares Monte Carlo methodology to estimate market and model risk simultaneously. The results show that at different confidence levels and time horizons the proposed methodology to estimate the market and model risks has a greater joint explanatory power than the isolated estimate of market risk.
Palabras clave Model risk
Simulation model
Stochastic process
Monte Carlo
Least-squares
Editor(es) Springer Link
Fecha 2022-03-01
Formato application/pdf
Identificador bibliuned:DptoEEC-FCEE-Articulos-Mgonzalez-0002
http://e-spacio.uned.es/fez/view/bibliuned:DptoEEC-FCEE-Articulos-Mgonzalez-0002
DOI - identifier https://doi.org/10.1057/s41283-022-00090-1
ISSN - identifier 1460-3799, 1743-4637
Nombre de la revista Risk Management
Número de Volumen 24
Número de Issue 2
Página inicial 22
Página final 37
Publicado en la Revista Risk Management, Volume 24,(2), pages 22-37, (2022)
Idioma eng
Versión de la publicación publishedVersion
Tipo de recurso Article
Derechos de acceso y licencia http://creativecommons.org/licenses/by-nc-nd/4.0
info:eu-repo/semantics/openAccess
Tipo de acceso Acceso abierto
Notas adicionales The registered version of this article, first published in Risk Management, is available online at the publisher's website: Springer Link, https://doi.org/10.1057/s41283-022-00090-1
Notas adicionales La versión registrada de este artículo, publicado por primera vez en Risk Management, está disponible en línea en el sitio web del editor: Springer Link, https://doi.org/10.1057/s41283-022-00090-1

 
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Creado: Fri, 12 Jan 2024, 20:34:19 CET