Une évaluation économique du risque de modèle pour les investisseurs de long terme
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  ; Montfort ). 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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- 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.
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- Suleyman Basak & Alex Shapiro, . "Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices," Rodney L. White Center for Financial Research Working Papers 6-99, Wharton School Rodney L. White Center for Financial Research.
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- 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.
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