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Modellrisiko = Spezifikation + Validierung

Listed author(s):
  • Stahl, Gerhard
  • Sibbertsen, Philipp
  • Bertram, Philip

Als Teil des operationellen Risikos stellt das Modellrisiko eine wichtige Komponente für die Risikoermittlung bei Finanzinstitutionen dar. Da letztere z.B. bei der Tarifierung und Bepreisung von Derivaten bzw. Portfolien oder bei der Markt- und Kreditrisikoberechnung auf stochastische Modelle zurückgreifen, kann die Spezifikation falscher Modelle zu einer erheblichen Fehlkalkulation des Risikos führen. Aufbauend auf einer prozessorientierten Definition von Modellrisiko werden Beispiele des Auftretens von Modellrisiko in der aktuariellen Praxis angeführt. Dies wird anhand des Market Consistent Embedded Value und des Wilkie-Modells illustriert. Bei der Schätzung, Spezifikation und Validierung von letzterem verdeutlichen wir das Zusammenspiel dieser drei Komponenten mit dem Modellrisiko. Hierzu wird das Wilkie-Modell im Rahmen von multivariaten Zeitreihenmodellen dargestellt und analysiert.

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Paper provided by Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät in its series Hannover Economic Papers (HEP) with number dp-468.

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Length: 28 pages
Date of creation: Mar 2011
Handle: RePEc:han:dpaper:dp-468
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  1. Sibbertsen, Philipp & Stahl, Gerhard & Luedtke, Corinna, 2008. "Measuring Model Risk," Hannover Economic Papers (HEP) dp-409, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  2. Clements,Michael & Hendry,David, 1998. "Forecasting Economic Time Series," Cambridge Books, Cambridge University Press, number 9780521632423, March.
  3. Bénédicte Vidaillet & V. D'Estaintot & P. Abécassis, 2005. "Introduction," Post-Print hal-00287137, HAL.
  4. Wilkie, A.D., 1995. "More on a Stochastic Asset Model for Actuarial Use," British Actuarial Journal, Cambridge University Press, vol. 1(05), pages 777-964, December.
  5. Kai Detlefsen & Wolfgang Härdle, 2006. "Calibration Risk for Exotic Options," SFB 649 Discussion Papers SFB649DP2006-001, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
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