Model risk : concepts, calibration and pricing
著者
書誌事項
Model risk : concepts, calibration and pricing
Risk Books, c2000
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注記
Includes bibliographies and index
内容説明・目次
内容説明
A comprehensive compilation on the concept of model risk and the potential pitfalls associated with modelling financial risks, this book provides an assessment of various models, examining the weaknesses and provides methods to mitigate potential model failures and deficiencies. It also covers the testing of models, what should be tested and what the parameters should be, with core contributions selected and introduced by Professor Rajna Gibson.
目次
Contributors Introduction Rajna Gibson Overview: Model Risk Michel Crouhy, Dan Galai and Robert Mark DERIVATIVES PRICING AND HEDGING UNDER MODEL RISK 1 Empirical Performance of Alternative Option Pricing Models Gurdip Bakshi, Charles Cao and Zhiwu Chen 2 Market Risk and Model Risk for a Financial Institution Writing Options Stephen Figlewski and T. Clifton Green 3 Model Error in Contingent Claim Models Dynamic Evaluation Eric Jacquier and Robert Jarrow 4 New Insights into Smile, Mispricing and Value-at-Risk: The Hyperbolic Model Ernst Eberlein, Ulrich Keller and Karsten Prause 5 Market Illiquidity as a Source of Model Risk in Dynamic Hedging Rudiger Frey MODEL RISK AND INTEREST RATE RISK 6 The Stochastic Volatility of Short-Term Interest Rates: Some International Evidence Walter Torous and Clifford Ball 7 Is the Short Rate Drift Actually Nonlinear David Chapman and Neil Pearson 8 Model Risk with Jump-Diffusion Processes Aydin Akgun VAR METHODOLOGIES UNDER MODEL RISK 9 Evaluating Value-at-Risk Methodologies: Accuracy Versus Computational Time Matthew Pritsker 10 Comparative Anatomy of Credit Risk Models Michael Gordy 11 A Comparison of Analytical VAR Methodologies for Portfolios that Include Options Stefan Pichler and Karl Selitsch 12 Regulatory Evaluation of Value-at-Risk Models Jose A. Lopez 13 Risk Capital and VAR Paul H. Kupiec
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