Behavioral approach to market and default risks modeling
AbstractIn this paper we discuss popular market and default risks modeling. We highlight some shortcomings. Then, we present the prospect and cumulative prospect theories. We discuss again the previous models under behavioral finance framework and get different results. Based on these results, we propose a new Value at Risk measure and make suggestions on other measures.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 20641.
Date of creation: 27 Dec 2009
Date of revision:
Noise Trading; Value at Risk; Probability of Default; Risk Measure Coherence; Risk Measure's Estimator Coherence;
Find related papers by JEL classification:
- G1 - Financial Economics - - General Financial Markets
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- G0 - Financial Economics - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-04-04 (All new papers)
- NEP-RMG-2010-04-04 (Risk Management)
- NEP-UPT-2010-04-04 (Utility Models & Prospect Theory)
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