PL EN


2013 | 152 | 73-81
Article title

Ryzyko modelu a miary ryzyka

Content
Title variants
EN
Model Risk and Risk Measures
Languages of publication
PL
Abstracts
EN
The paper discusses the problem of model risk, defined as risk resulting from the application of wrong model in real world. Three sources of model risk are distinguished: risk related to the structure of the model, risk of model estimation and risk connected with the application of the model. The main part of the paper presents the measures that can be used to evaluate risk of model estimation. Two particular cases are solved. The first one is the construction of two stock portfolio with minimal risk, the second one is option pricing. In both cases estimation risk results from the fact that main parameter, which is volatility (standard deviation if returns), has to be estimated. Finally, the paper states important conditions to limit model risk.
Year
Volume
152
Pages
73-81
Physical description
Contributors
References
  • Black F., Scholes M. (1973): The Pricing of Options and Corporate Liabilities. "Journal of Political Economy", 81, s. 637-654.
  • Hull J. (2011): Options, Futures and Other Derivatives. Pearson, Upper Saddle River.
  • Jajuga K. (2010): Assessment of Model Risk in Financial Markets. "Optimum Studia Ekonomiczne", 48, s. 35-43.
  • Markowitz H.M. (1952): Portfolio Selection. "Journal of Finance", 7, s. 77-91.
  • Merton R.C. (1973): Theory of Rational Option Pricing. "Bell Journal of Economics and Management Science", 4, s. 141-183.
Document Type
Publication order reference
Identifiers
ISSN
2083-8611
YADDA identifier
bwmeta1.element.desklight-8f853e7c-5fd9-4eeb-9a11-c08630a5496a
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