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Une évaluation économique du risque de modèle pour les investisseurs de long terme

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  • Christophe Boucher
  • Benjamin Hamidi
  • Patrick Kouontchou
  • Bertrand Maillet

Abstract

The recent experience from the global financial crisis has raised serious questions about the accuracy of standard risk measures as a tool to quantify extreme downward risks. These standard risk measures, such as the var, emerge over the last decades as the industry standard for risk management and asset allocation (Basak and Shapiro [2001] ; Montfort [2008]). We estimate the riskiness of risk models and we evaluate its impact on optimal portfolios at various time horizons. Based on a long sample of u.s. data, we find an inverse U-shape relation between var model errors and the horizon that impacts the optimal asset allocation of the representative agent. Classification JEL : C14, C52, G11, G32.

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Bibliographic Info

Article provided by Presses de Sciences-Po in its journal Revue économique.

Volume (Year): 63 (2012)
Issue (Month): 3 ()
Pages: 591-600

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Handle: RePEc:cai:recosp:reco_633_0591

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  1. Rama Cont, 2006. "Model uncertainty and its impact on the pricing of derivative instruments," Post-Print halshs-00002695, HAL.
  2. M.J.B. Hall, 1996. "The amendment to the capital accord to incorporate market risk," BNL Quarterly Review, Banca Nazionale del Lavoro, vol. 49(197), pages 271-277.
  3. Suleyman Basak & Alex Shapiro, . "Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices," Rodney L. White Center for Financial Research Working Papers 06-99, Wharton School Rodney L. White Center for Financial Research.
  4. Nicholas Barberis, 2000. "Investing for the Long Run when Returns Are Predictable," Journal of Finance, American Finance Association, vol. 55(1), pages 225-264, 02.
  5. Kerkhof, Jeroen & Melenberg, Bertrand & Schumacher, Hans, 2010. "Model risk and capital reserves," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 267-279, January.
  6. Engle, Robert F. & Manganelli, Simone, 2001. "Value at risk models in finance," Working Paper Series 0075, European Central Bank.
  7. T. Clifton Green & Stephen Figlewski, 1999. "Market Risk and Model Risk for a Financial Institution Writing Options," Journal of Finance, American Finance Association, vol. 54(4), pages 1465-1499, 08.
  8. M.J.B. Hall, 1996. "The amendment to the capital accord to incorporate market risk," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, vol. 49(197), pages 271-277.
  9. Paul H. Kupiec, 1995. "Techniques for verifying the accuracy of risk measurement models," Finance and Economics Discussion Series 95-24, Board of Governors of the Federal Reserve System (U.S.).
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