IDEAS home Printed from https://ideas.repec.org/p/trt/aleatr/015.html
   My bibliography  Save this paper

Il model risk nella gestione dei rischi di mercato

Author

Listed:
  • Marco Filagrana

Abstract

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.

Suggested Citation

  • Marco Filagrana, 2002. "Il model risk nella gestione dei rischi di mercato," Alea Tech Reports 015, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008.
    • Handle: RePEc:trt:aleatr:015
    as

    Download full text from publisher

    File URL: http://www.unitn.it/files/download/19362/alea015.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. 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.
    2. 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.
    3. 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.
    4. Luca Erzegovesi, 1999. "Rischio e incertezza in finanza: classificazione e logiche di gestione," Alea Tech Reports 006, 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. 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.
    7. Engle, Robert F. & Manganelli, Simone, 2001. "Value at risk models in finance," Working Paper Series 75, European Central Bank.
    8. 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.
    9. 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.
    10. Luca Erzegovesi, 2002. "VaR and Liquidity Risk.Impact on Market Behaviour and Measurement Issues," Alea Tech Reports 014, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008.
    11. 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.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Enrico Zaninotto & Alessandro Rossi & Loris Gaio, 1999. "Stochastic learning in coordination games: a simulation approach," Quaderni DISA 015, Department of Computer and Management Sciences, University of Trento, Italy, revised 29 Jun 2003.
    2. Gianni Degasperi & Luca Erzegovesi, 1999. "I mercati finanziari come sistemi complessi: il modello di Vaga," Alea Tech Reports 007, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008.
    3. Luca Erzegovesi, 2002. "VaR and Liquidity Risk.Impact on Market Behaviour and Measurement Issues," Alea Tech Reports 014, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008.
    4. Flavio Bazzana & Francesca Debortoli, 2002. "Il rischio sistemico in finanza: una rassegna dei recenti contributi in letteratura," Alea Tech Reports 017, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008.
    5. Gianni Degasperi, 1999. "La dinamica delle crisi finanziarie: i modelli di Minsky e Kindleberger," Alea Tech Reports 005, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008.
    6. 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.
    7. Christophe Boucher & Benjamin Hamidi & Patrick Kouontchou & Bertrand Maillet, 2012. "Une évaluation économique du risque de modèle pour les investisseurs de long terme," Revue économique, Presses de Sciences-Po, vol. 63(3), pages 591-600.
    8. Lima, Luiz Renato & Néri, Breno Pinheiro, 2007. "Comparing Value-at-Risk Methodologies," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 27(1), May.
    9. 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.
    10. Bakshi, Gurdip & Panayotov, George, 2010. "First-passage probability, jump models, and intra-horizon risk," Journal of Financial Economics, Elsevier, vol. 95(1), pages 20-40, January.
    11. George Kouretas & Leonidas Zarangas, 2005. "Conditional autoregressive valu at risk by regression quantile: Estimatingmarket risk for major stock markets," Working Papers 0521, University of Crete, Department of Economics.
    12. Rossignolo, Adrian F. & Fethi, Meryem Duygun & Shaban, Mohamed, 2012. "Value-at-Risk models and Basel capital charges," Journal of Financial Stability, Elsevier, vol. 8(4), pages 303-319.
    13. Andrea Sironi, 2001. "An Analysis of European Banks' SND Issues and its Implications for the Design of a Mandatory Subordinated Debt Policy," Journal of Financial Services Research, Springer;Western Finance Association, vol. 20(2), pages 233-266, October.
    14. Hassan Belkacem Ghassan & Abdelkrim Ahmed Guendouz, 2019. "Panel modeling of z-score: evidence from Islamic and conventional Saudi banks," International Journal of Islamic and Middle Eastern Finance and Management, Emerald Group Publishing Limited, vol. 12(3), pages 448-468, July.
    15. Szubzda Filip & Chlebus Marcin, 2019. "Comparison of Block Maxima and Peaks Over Threshold Value-at-Risk models for market risk in various economic conditions," Central European Economic Journal, Sciendo, vol. 6(53), pages 70-85, January.
    16. Sironi, Andrea, 2003. "Testing for Market Discipline in the European Banking Industry: Evidence from Subordinated Debt Issues," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 35(3), pages 443-472, June.
    17. Fong Chan, Kam & Gray, Philip, 2006. "Using extreme value theory to measure value-at-risk for daily electricity spot prices," International Journal of Forecasting, Elsevier, vol. 22(2), pages 283-300.
    18. Dimson, Elroy & Marsh, Paul, 1997. "Stress tests of capital requirements," Journal of Banking & Finance, Elsevier, vol. 21(11-12), pages 1515-1546, December.
    19. Vlaar, Peter J. G., 2000. "Value at risk models for Dutch bond portfolios," Journal of Banking & Finance, Elsevier, vol. 24(7), pages 1131-1154, July.
    20. Ernst, Cornelia & Stange, Sebastian & Kaserer, Christoph, 2012. "Measuring market liquidity risk - which model works best?," Journal of Financial Transformation, Capco Institute, vol. 35, pages 133-146.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:trt:aleatr:015. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Luca Erzegovesi (email available below). General contact details of provider: https://edirc.repec.org/data/ditreit.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.