کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
999208 | 936792 | 2008 | 8 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Blame the models
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد، اقتصادسنجی و مالیه (عمومی)
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
The quality of statistical risk models is much lower than often assumed. Such models are useful for measuring the risk of frequent small events, such as in internal risk management, but not for systemically important events. Unfortunately, it is common to see unrealistic demands placed on risk models. Having a number representing risk seems to be more important than having a number which is correct. Here, it is demonstrated that even in what may be the easiest and most reliable modeling exercise, value-at-risk forecasts from the most commonly used risk models provide very inconsistent results.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Stability - Volume 4, Issue 4, December 2008, Pages 321–328
Journal: Journal of Financial Stability - Volume 4, Issue 4, December 2008, Pages 321–328
نویسندگان
Jón Daníelsson,