COPING WITH LONG TERM MODEL RISK IN MARKET RISK MODELS

Manuela Spangler, Ralf Werner

2012

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 Harvard Style

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 - Volume 1: ICORES, ISBN 978-989-8425-97-3, pages 239-246. DOI: 10.5220/0003712902390246


in Bibtex Style

@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 - Volume 1: ICORES,},
year={2012},
pages={239-246},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0003712902390246},
isbn={978-989-8425-97-3},
}


in EndNote Style

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