Model Risk Measurement - General Concept and Particular Models

• Autorzy: Krzysztof Jajuga , Katarzyna Kuziak
• Języki publikacji: EN

Abstrakty

EN

Tremendous development of financial theory and computer technology has led to the substantial increase of potential application of very advanced models, based on mathematical tools, in financial practice. This means that it is very easy to apply these models, without paying attention to justifiability of application of particular model in specific practical problem. This brings the issue of the so-called model risk. In this paper we discuss this problem, by giving the proposals of how to measure model risk and to solve some particular models. We discuss the models used in finance. (fragment of text)

Słowa kluczowe

EN

Finance; Information science; Statistical methods; Financial mathematics; Financial risk; Risk measures

PL

Finanse; Informatyka; Metody statystyczne; Matematyka finansowa; Ryzyko finansowe; Pomiar ryzyka

• Czasopismo: Scientific Publications / University of Economics in Katowice
• Rocznik: 2006
• Tom: Mathematical, econometrical and computational methods in finance and insurance
• Strony: 107--115

Twórcy

autor

Krzysztof Jajuga

• Wrocław University of Economics, Poland

autor

Katarzyna Kuziak

• Wrocław University of Economics, Poland

Bibliografia

• Kato T., Yoshiba T.: Model Risk and Its Control. "Monetary and Economic Studies" 2000, December.
• Merton R.: Applications of Option-Pricing Theory: Twenty-Five Years Later. Nobel Lecture 1997.