COPING WITH LONG TERM MODEL RISK IN MARKET RISK MODELS

Manuela Spangler; Ralf Werner

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Paper

COPING WITH LONG TERM MODEL RISK IN MARKET RISK MODELS

Topics: Risk Management

In Proceedings of the 1st International Conference on Operations Research and Enterprise Systems ICORES - Volume 1, 239-246, 2012 , Vilamoura, Algarve, Portugal

Authors: Manuela Spangler ¹ and Ralf Werner ²

Affiliations: ¹ Deutsche Pfandbriefbank AG, Germany ; ² Hochschule München, Germany

Keyword(s): Model risk, Risk management.

Related Ontology Subjects/Areas/Topics: Applications ; Methodologies and Technologies ; Operational Research ; Risk Management ; Software Engineering ; Software Project Management

Abstract: The recent financial crisis has shown that most market risk models – even if they deliver sufficiently accurate risk figures over short time horizons – are not able to provide reliable forecasts for risk figures over longer time horizons like three, twelve or 36 months, which are the basis for both limit management and economic capital planning. As a potential remedy the concept of potential future market risk can be used to deal with such long term model risks in market risk measurement. Based on a toy example we will outline how this concept can be applied for new business planning or for limit setting and capital buffer definitions.

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Paper citation in several formats:

Spangler, M. and Werner, R. (2012). COPING WITH LONG TERM MODEL RISK IN MARKET RISK MODELS. In Proceedings of the 1st International Conference on Operations Research and Enterprise Systems - ICORES; ISBN 978-989-8425-97-3; ISSN 2184-4372, SciTePress, pages 239-246. DOI: 10.5220/0003712902390246

@conference{icores12,
author={Manuela Spangler. and Ralf Werner.},
title={COPING WITH LONG TERM MODEL RISK IN MARKET RISK MODELS},
booktitle={Proceedings of the 1st International Conference on Operations Research and Enterprise Systems - ICORES},
year={2012},
pages={239-246},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0003712902390246},
isbn={978-989-8425-97-3},
issn={2184-4372},
}

TY - CONF

JO - Proceedings of the 1st International Conference on Operations Research and Enterprise Systems - ICORES
TI - COPING WITH LONG TERM MODEL RISK IN MARKET RISK MODELS
SN - 978-989-8425-97-3
IS - 2184-4372
AU - Spangler, M.
AU - Werner, R.
PY - 2012
SP - 239
EP - 246
DO - 10.5220/0003712902390246
PB - SciTePress