Coping with long term model risk in market risk models

  • The recent financial crisis has shown that most market risk models – even if they deliver sufficiently accurate risk figures over short time horizons – are not able to provide reliable forecasts for risk figures over longer time horizons like three, twelve or 36 months, which are the basis for both limit management and economic capital planning. As a potential remedy the concept of potential future market risk can be used to deal with such long term model risks in market risk measurement. Based on a toy example we will outline how this concept can be applied for new business planning or for limit setting and capital buffer definitions.

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Metadaten
Author:Manuela Spangler, Ralf WernerGND
URN:urn:nbn:de:bvb:384-opus4-431970
Frontdoor URLhttps://opus.bibliothek.uni-augsburg.de/opus4/43197
ISBN:978-989-8425-97-3OPAC
Parent Title (English):ICORES 2012 - proceedings of the 1st International Conference on Operations Research and Enterprise Systems, Vilamoura, Algarve, Portugal, 4-6 February 2012
Publisher:SciTePress
Place of publication:Setúbal
Editor:Carlos J. Luz, Fernando Valente
Type:Conference Proceeding
Language:English
Year of first Publication:2012
Publishing Institution:Universität Augsburg
Release Date:2018/11/20
Issue:Volume 1
First Page:239
Last Page:246
DOI:https://doi.org/10.5220/0003712902390246
Institutes:Mathematisch-Naturwissenschaftlich-Technische Fakultät
Mathematisch-Naturwissenschaftlich-Technische Fakultät / Institut für Mathematik
Mathematisch-Naturwissenschaftlich-Technische Fakultät / Institut für Mathematik / Lehrstuhl für Rechnerorientierte Statistik und Datenanalyse
Dewey Decimal Classification:3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft
Licence (German):CC-BY-NC-ND 4.0: Creative Commons: Namensnennung - Nicht kommerziell - Keine Bearbeitung (mit Print on Demand)

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