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Risque de modèle de volatilité

  • Ali Alami
  • Éric Renault

The risk-return trade-off being the very substance of finance, volatility has always been an essential parameter for portfolio management. Moreover, the generalization of the use of derivatives has placed in the forefront the concept of volatility risk: i.e. the model risk generated by treating the volatility as a constant parameter, when it is in fact volatile. Hence the econometrician is asked for accurate measures and reliable forecasts of volatility, not only for pricing and hedging derivatives, but also more generally for portfolio management. The central thesis of this paper is that operational model-free methods of volatility forecasting do not exist any more than do arbitrage opportunities (free lunches) in financial markets. It is for this reason that there exists volatility model risk against which it is illusory to try to immunize. Several specific components of this model risk are analyzed. One will imply that the choice of a volatility model for a given financial application always confronts one with a risk-return trade-off on the model itself. L'arbitrage rendement - risque étant la substance de la finance, la volatilité a toujours été un paramètre essentiel pour la gestion de portefeuille. La généralisation de l'utilisation de produits dérivés a en outre mis sur le devant de la scène le concept de risque de volatilité, c'est-à-dire en quelque sorte le risque de modèle généré par la vision de la volatilité comme un paramètre constant, alors que celle-ci est elle-même volatile. Ainsi, des mesures précises et des prévisions fiables de la volatilité sont demandées à l'économètre, non seulement pour l'évaluation et la couverture des actifs dérivés0501s aussi plus généralement pour la gestion de portefeuille. La thèse centrale de cet article est que des stratégies opérationnelles de prévision statistique de la volatilité qui seraient model-free n'existent pas davantage que les opportunités d'arbitrage (free lunch) sur les marchés financiers. D'où le risque de modèle de volatilité contre lequel il est illusoire de vouloir s'immuniser. Plusieurs composantes spécifiques de ce risque de modèle sont analysées. On en déduira que le choix d'un modèle de volatilité pour une application financière donnée confronte toujours à un trade-off rendement/risque sur le modèle lui-même.

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Paper provided by CIRANO in its series CIRANO Working Papers with number 2001s-06.

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Length: 39 pages
Date of creation: 01 Feb 2001
Date of revision:
Handle: RePEc:cir:cirwor:2001s-06
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