Ryzyko modelu a miary ryzyka

• Authors: Krzysztof Jajuga

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.

Keywords

PL

Ryzyko; Ryzyko finansowe; Wycena opcji

EN

Financial risk; Options pricing; Risk,

• Publisher: Uniwersytet Ekonomiczny w Katowicach
• Journal: Studia Ekonomiczne
• Year: 2013
• Volume: 152
• Pages: 73-81

Contributors

author

Krzysztof Jajuga

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.

Identifiers

ISSN

2083-8611