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Market and model risks: a feasible joint estimate methodology

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dc.contributor.authorGonzález Sánchez, Mariano
dc.contributor.authorIbáñez Jiménez, Eva María
dc.contributor.authorSegovia San Juan, Ana Isabel
dc.date.accessioned2024-05-20T11:24:24Z
dc.date.available2024-05-20T11:24:24Z
dc.date.issued2022-03-01
dc.description.abstractThe 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.en
dc.description.versionversión publicada
dc.identifier.doihttps://doi.org/10.1057/s41283-022-00090-1
dc.identifier.issn1460-3799, 1743-4637
dc.identifier.urihttps://hdl.handle.net/20.500.14468/11911
dc.journal.issue2
dc.journal.titleRisk Management
dc.journal.volume24
dc.language.isoen
dc.publisherSpringer Link
dc.relation.centerFacultad de Ciencias Económicas y Empresariales
dc.relation.departmentEconomía de la Empresa y Contabilidad
dc.rightsAtribución-NoComercial-SinDerivadas 4.0 Internacional
dc.rightsinfo:eu-repo/semantics/openAccess
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0
dc.subject.keywordsModel risk
dc.subject.keywordsSimulation model
dc.subject.keywordsStochastic process
dc.subject.keywordsMonte Carlo
dc.subject.keywordsLeast-squares
dc.titleMarket and model risks: a feasible joint estimate methodologyes
dc.typeartículoes
dc.typejournal articleen
dspace.entity.typePublication
relation.isAuthorOfPublication1801f9f2-5927-4817-a82f-3baa664d18e1
relation.isAuthorOfPublication87e5c96e-59e3-4736-a6cf-2ea7e6d9fc86
relation.isAuthorOfPublication99559728-2011-4a2f-a766-4641487e2152
relation.isAuthorOfPublication.latestForDiscovery1801f9f2-5927-4817-a82f-3baa664d18e1
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