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Il model risk nella gestione dei rischi di mercato

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Author Info
Marco Filagrana
Abstract

La diffusione del VAR e l'utilizzo dei modelli interni a fini di vigilanza espongono la banca al model risk. Esso può essere circoscritto da un organico processo aziendale di governo del rischio, la cui definizione - a partire da un caso aziendale - viene proposta nel presente articolo. Si ritiene che proprio la necessità di sviluppare un tale processo rappresenti gran parte del valore aggiunto derivante dall'utilizzo dei modelli interni. Ciò soprattutto per il sistema bancario italiano per il quale non appare stringente la necessità di ridurre l'assorbimento patrimoniale attraverso una più efficiente quantificazione dei rischi di mercato.

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Paper provided by Department of Computer and Management Sciences, University of Trento, Italy in its series Alea Tech Reports with number 015.

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Length: 41 pages
Date of creation: Feb 2002
Date of revision: 14 Jun 2008
Handle: RePEc:trt:aleatr:015

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  1. Simone Manganelli & Robert F. Engle, 2001. "Value at risk models in finance," Working Paper Series 075, European Central Bank. [Downloadable!]
  2. Enrico Zaninotto, 1997. "Coordinamento e standardizzazione," Quaderni DISA 002, Department of Computer and Management Sciences, University of Trento, Italy.
  3. Flavio Bazzana, 2001. "I modelli interni per la valutazione del rischio di mercato secondo l'approccio del Value at Risk," Alea Tech Reports 011, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008. [Downloadable!]
  4. Mariangela Franch & Luisa Mich & Alessandro Narduzzo & Enrico Zaninotto, 1997. "Un metodo per l'analisi dei bisogni di telecomunicazioni. Applicazioni al settore degli elettrodomestici e al settore del Turismo," Quaderni DISA 004, Department of Computer and Management Sciences, University of Trento, Italy.
  5. A. Marchi & Luisa Mich, 1998. "Un modello per l'analisi e valutazione dei siti web: applicazione al sito del consorzio Dolomiti Superski," Quaderni DISA 011, Department of Computer and Management Sciences, University of Trento, Italy.
  6. Luca Erzegovesi, 1999. "Capire la volatilità con il modello binomiale," Alea Tech Reports 004, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008. [Downloadable!]
  7. Alessandro Beber, 1999. "Introduzione all'analisi tecnica," Alea Tech Reports 002, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008. [Downloadable!]
  8. Alessandro Beber, 2001. "Determinants of the implied volatility function on the Italian Stock Market," LEM Papers Series 2001/05, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
  9. Mariangela Franch, 1998. "La comunicazione on-line. Aspetti metodologici e risultati di alcune sperimentazioni," Quaderni DISA 010, Department of Computer and Management Sciences, University of Trento, Italy.
  10. V. Brichetti & Mariangela Franch & Luisa Mich, 1998. "Progetto Disaweb: analisi delle esigenze informative su DISA," Quaderni DISA 012, Department of Computer and Management Sciences, University of Trento, Italy.
  11. Marco Bee, 2001. "Mixture models for VaR and stress testing," Alea Tech Reports 012, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008. [Downloadable!]
  12. Alessandro Beber, 2001. "Determinants of the implied volatility function on the Italian Stock Market," Alea Tech Reports 010, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008. [Downloadable!]
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