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Quantification of model risk with Bootstrapping Method

Quantification of model risk with Bootstrapping Method
Recurso electrónico / Electronic resource
Registro MARC
Tag12Valor
LDR  00000cam a22000004b 4500
001  MAP20170026303
003  MAP
005  20170804143634.0
008  170804e20170000esp|||| ||| ||spa d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
1001 ‎$0‎MAPA20170010456‎$a‎Xu, Li
24500‎$a‎Quantification of model risk with Bootstrapping Method‎$c‎Li Xu
260  ‎$a‎Madrid‎$b‎Universidad Carlos III de Madrid‎$c‎2017
500  ‎$a‎Trabajo Fin de Master del Master en Ciencias Actuariales y Financieras de la Escuela de Postgrado de la Universidad Carlos III de Madrid. Curso 2016-2017
520  ‎$a‎After the 2007 crisis, it has been widely acknowledged that insufficient understanding of model risk is one of the most critical reasons contributing to the failures of risk model. The concept of model risk intrigues both academic world and financial institutions. Inspired by Boucher et al.(2014), this paper is devoted to finding an applicable method to quantify the model risk. In this paper, model risk is regarded as the excessive frequency of violation and clustering of the violations. Backtesting method with one-year window is used to search for an optimal capital adjustment for market prevalent VaR models, including GARCH family models, historical simulation and normal distribution method. The properties of the optimal capital adjustment are compared and analyzed and it offers a perspective different from pure statistics measures
650 4‎$0‎MAPA20090026162‎$a‎Cuantificación del riesgo
650 4‎$0‎MAPA20080602567‎$a‎Métodos cuantitativos
650 4‎$0‎MAPA20080579258‎$a‎Cálculo actuarial
650 4‎$0‎MAPA20080601522‎$a‎Evaluación de riesgos
7102 ‎$0‎MAPA20080455026‎$a‎Universidad Carlos III de Madrid
830 0‎$0‎MAPA20160014013‎$a‎Trabajos Fin de Master
856  ‎$q‎application/pdf‎$w‎1093618‎$y‎Recurso electrónico / Electronic resource