Claussen, Arndt and Roesch, Daniel and Schmelzle, Martin (2019) Hedging parameter risk. JOURNAL OF BANKING & FINANCE, 100. pp. 111-121. ISSN 0378-4266, 1872-6372
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The accurate measurement and effective control of financial risk are of crucial importance to risk managers and regulators. However, risk measures are potentially affected by errors in the estimation of model parameters from limited samples, leading to parameter risk. The key contribution of this paper is the formulation of a general framework to hedge this parameter risk. Applying the new framework to credit portfolio modeling, we highlight the importance of parameter risk, estimation methods, and diversification effects. (C) 2019 Elsevier B.V. All rights reserved.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | VALUE-AT-RISK; MODEL UNCERTAINTY; PORTFOLIO SELECTION; EXPECTED SHORTFALL; ESTIMATION ERROR; INFORMATION; ROBUSTNESS; RATES; Estimation error; Parameter risk; Hedging |
| Subjects: | 300 Social sciences > 330 Economics |
| Divisions: | Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Statistik und Risikomanagement (Prof. Dr. Rösch) |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 21 Apr 2020 09:08 |
| Last Modified: | 21 Apr 2020 09:08 |
| URI: | https://pred.uni-regensburg.de/id/eprint/27425 |
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