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Modellrisiko = Spezifikation + Validierung

Author

Listed:
  • Stahl, Gerhard
  • Sibbertsen, Philipp
  • Bertram, Philip

Abstract

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.

Suggested Citation

  • Stahl, Gerhard & Sibbertsen, Philipp & Bertram, Philip, 2011. "Modellrisiko = Spezifikation + Validierung," Hannover Economic Papers (HEP) dp-468, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    • Handle: RePEc:han:dpaper:dp-468
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    File URL: http://diskussionspapiere.wiwi.uni-hannover.de/pdf_bib/dp-468.pdf
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    References listed on IDEAS

    as
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    Keywords

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    JEL classification:

    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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