Pesquisa de referências

Quantification of model risk with Bootstrapping Method

<?xml version="1.0" encoding="UTF-8" standalone="no"?>
<rdf:RDF xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#" xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
<rdf:Description>
<dc:creator>Xu, Li</dc:creator>
<dc:creator>Universidad Carlos III de Madrid</dc:creator>
<dc:date>2017-00-00</dc:date>
<dc:description xml:lang="es">Trabajo 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</dc:description>
<dc:description xml:lang="es">Sumario: After 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</dc:description>
<dc:format xml:lang="en">application/pdf</dc:format>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/161400.do</dc:identifier>
<dc:language>spa</dc:language>
<dc:publisher>Universidad Carlos III de Madrid</dc:publisher>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Cuantificación del riesgo</dc:subject>
<dc:subject xml:lang="es">Métodos cuantitativos</dc:subject>
<dc:subject xml:lang="es">Cálculo actuarial</dc:subject>
<dc:subject xml:lang="es">Evaluación de riesgos</dc:subject>
<dc:type xml:lang="es">Livros</dc:type>
<dc:title xml:lang="es">Quantification of model risk with Bootstrapping Method</dc:title>
<dc:relation xml:lang="es">Trabajos Fin de Master</dc:relation>
</rdf:Description>
</rdf:RDF>