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model risk sign in to follow this
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An Economic Evaluation of Model Risk in Long-term Asset Allocations
Year Of Publication: 2013
Month Of Publication: May
Resource Link: Click here to open
Pages: 24
Download Count: 0
View Count: 944
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 6-15-2013
Publisher: Administrator
Summary
Following the recent crisis and the revealed weakness of risk management practices, regulators of developed markets have recommended that financial institutions assess model risk. Standard risk measures, such as the Value-at-Risk (VaR), emerged over recent decades as the industry standard for risk management and have today become a key tool for asset allocation. We illustrate and estimate model risk, and focus on the evaluation of its impact on optimal portfolios at various time horizons. Based on a long sample of U.S. data, we find a non-linear relation between VaR model errors and the horizon that impacts optimal asset allocations.
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Author(s)
Boucher, C_hristophe M. Sign in to follow this author
Maillet, Bertrand B. Sign in to follow this author
Kouontchou, Patrick Sign in to follow this author
Jannin, Gregory Sign in to follow this author
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