- Author
- Kuziak Katarzyna (Akademia Ekonomiczna we Wrocławiu)
- Title
- Zagadnienie ryzyka modelu w zarządzaniu ryzykiem
Model Risk in Risk Management Process - Source
- Prace Naukowe Akademii Ekonomicznej we Wrocławiu. Taksonomia (12), 2005, nr 1076, s. 119-125, tab., bibliogr. 8 poz.
- Issue title
- Klasyfikacja i analiza danych - teoria i zastosowania
- Keyword
- Zarządzanie ryzykiem
Risk management - Note
- summ.
- Abstract
- Ryzyko modelu pojawia się wszędzie tam, gdzie do opisu rzeczywistości jest używany model teoretyczny. Powoduje to, że kontrola tego ryzyka powinna być podstawa w każdym przypadku wykorzystania modelu. (fragment tekstu)
Model risk is understood as the special risk that arises when reality is described by theoretical model (every model is a simplification of reality). The first step before using any of theoretical models should be model risk control. Theoretical models play an important role in risk management process. Risk management process can be separated into three activities (steps): identification, measurement, monitor and control. In every step (for pricing, hedging, risk valuation) theoretical models will be used. This causes the additional risk, a so-called model risk. The paper will present model risk, types of model risk and sources of model risk. Empirical evidence will be given. (original abstract) - Accessibility
- The Main Library of the Cracow University of Economics
The Library of Warsaw School of Economics
The Main Library of Poznań University of Economics and Business - Full text
- Show
- Bibliography
-
- Allen S.L., Financial Risk Management: a Practitioners Guide to Managing Market and Credit Risk, Wiley 2003.
- Crouhy M., Galai D., Mark R., Risk Management, McGraw-Hill, New York 2001.
- Derman E., Model Risk, "Risk" 1996, 9, s. 34-37.
- Duan J., The GARCH Option Pricing Model, "Mathematical Finance" 1995, nr 5, s. 13-32.
- Gątarek D., Ryzyko modelu, "Rynek Terminowy" 2002, nr 4, s. 52-55.
- Glosten R. Jagannathan, D. Runkle, On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks, "Journal of Finance" 1993,48, s. 1179-1801.
- Kato T., Yoshiba T., Model Risk and its Control. Monetary and Economic Studies, 2000, grudzień, s. 129-156.
- Rebonato R., Theory and Practice of Model Risk Management.
- Cited by
- ISSN
- 0324-8445
1505-9332 - Language
- pol
