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model risk sign in to follow this
backtesting sign in to follow this
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Risk Model-at-Risk
Company: Centre d’Economie de la Sorbonne
Company Url: Click here to open
Year Of Publication: 2013
Month Of Publication: December
Pages: 58
Download Count: 15
View Count: 1620
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 5-8-2011
Publisher: Administrator
Summary
We provide an economic valuation of the riskiness of risk models by directly measuring the impact of model risks (specification and estimation risks) on VaR estimates. We find that integrating the model risk into the VaR computations implies a substantial minimum correction of the order of 10-40% of VaR levels. We also present results of a practical method - based on a backtesting framework - for incorporating the model risk into the VaR estimates.
This document is published in Journal of Banking and Finance (March 2014) http://dx.doi.org/10.1016/j.jbankfin.2014.03.019
Author(s)
Maillet, Bertrand B. Sign in to follow this author
Boucher, C_hristophe M. Sign in to follow this author
Daníelsson, Jón Sign in to follow this author
Kouontchou, Patrick Sign in to follow this author
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