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Il model risk nella gestione dei rischi di mercato

  • Marco Filagrana
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    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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    File URL: http://www.unitn.it/files/download/19362/alea015.pdf
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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. 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.
    2. M.J.B. Hall, 1996. "The amendment to the capital accord to incorporate market risk," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, vol. 49(197), pages 271-277.
    3. Alessandro Beber, 1999. "Il dibattito su dignità ed efficacia dell'analisi tecnica nell'economia finanziaria," Alea Tech Reports 003, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008.
    4. 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.
    5. 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.
    6. 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.
    7. 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.
    8. Engle, Robert F. & Manganelli, Simone, 2001. "Value at risk models in finance," Working Paper Series 0075, European Central Bank.
    9. Alessandro Beber & Luca Erzegovesi, 1999. "Distribuzioni di probabilità implicite nei prezzi delle opzioni," Alea Tech Reports 008, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008.
    10. 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.
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