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The Riskiness of Risk Models
Year Of Publication: 2011
Month Of Publication: March
Resource Link: Click here to open
Pages: 13
Download Count: 0
View Count: 2795
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 6-15-2013
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.
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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
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