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Behavioral Approach to Market and Default Risks Modeling
Company: University of Lugano
Year Of Publication: 2009
Month Of Publication: December
Pages: 64
Download Count: 7
View Count: 1710
Comment Num: 0
Language: English
Source: thesis
Who Can Read: Free
Date: 7-24-2010
Publisher: Administrator
In this paper we discuss popular market and default risks modeling. We highlight some shortcomings. Then, we present the prospect and cumulative prospect theories. We discuss again the previous models under behavioral finance framework and get different results. Based on these results, we propose a new Value at Risk measure and make suggestions on other measures.
Taguedong, Sylvain C. Sign in to follow this author
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