Risk Management Models: Construction, Testing, Usage

被引:5
|
作者
Jarrow, Robert A. [1 ]
机构
[1] Cornell Univ, Johnson Grad Sch Management, Ithaca, NY 14853 USA
来源
JOURNAL OF DERIVATIVES | 2011年 / 18卷 / 04期
关键词
D O I
10.3905/jod.2011.18.4.089
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
Financial risk management models are alleged to have helped cause the 2007 credit crisis. There is some truth to these concerns. Risk management models were used wrongly prior the crisis, and they are still being misused today. This article critically analyzes risk management models construction, testing, and usage. In the process., we show that there are two common misuses of these models associated with calibration and hedging "the greeks." In particular we show that: 1) vega hedging with a calibrated Black-Scholes option pricing model is a nonsensical procedure, 2) using the implied default probabilities from a structural credit risk model to price credit default swaps is erroneous, and 3) using the default correlations obtained from credit risk copula models for computing value-at-risk measures leads to misspecified estimates. We provide alternatives to these misuses and a road map for the proper usage of risk managment models.
引用
收藏
页码:89 / 98
页数:10
相关论文
共 50 条
  • [21] Usage and benefits of projects risk analysis and management
    Simister, Steve J.
    International Journal of Project Management, 1994, 12 (01) : 5 - 8
  • [22] RISK EVALUATION IN CONSTRUCTION MANAGEMENT
    Zimmermann, Josef
    Eber, Wolfgang
    Schieg, Martin
    Pastrana, Norma E. Nino
    5TH INTERNATIONAL SCIENTIFIC CONFERENCE BUSINESS AND MANAGEMENT' 2008, 2008, : 241 - 244
  • [23] Determining optimal testing times for Markov Chain Usage Models
    Semmel, GS
    Linton, DG
    PROCEEDINGS IEEE SOUTHEASTCON '98: ENGINEERING FOR A NEW ERA, 1998, : 1 - 4
  • [24] Exploring the Case Study Usage in Construction Engineering and Management Research
    Krantz, Jan
    Larsson, Johan
    ICCREM 2017: PROJECT MANAGEMENT AND CONSTRUCTION TECHNOLOGY, 2017, : 38 - 46
  • [25] Risk Assessment Models of the Use of Innovative Technologies in Construction as a Factor in the Development of Energy Management
    Okolelova, Ella
    Shibaeva, Marina
    Shalnev, Oleg
    Efimyev, Alexey
    INTERNATIONAL SCIENTIFIC CONFERENCE ENERGY MANAGEMENT OF MUNICIPAL FACILITIES AND SUSTAINABLE ENERGY TECHNOLOGIES EMMFT 2018, VOL 2, 2019, 983 : 22 - 35
  • [26] Performance management models in construction companies
    Vukomanovic, Mladen
    Radujkovic, Mladen
    Dunovic, Ivana Burcar
    GRADEVINAR, 2008, 60 (09): : 771 - 778
  • [27] Testing for millennium risk management
    Feord, M
    IEEE SOFTWARE, 1997, 14 (03) : 126 - &
  • [28] Usage of dynamic decision models as an agile approach to COTS taxonomies construction
    Erofeev, S
    Di Giacomo, P
    FIFTH INTERNATIONAL CONFERENCE ON COMMERCIAL-OFF-THE-SHELF (COTS) - BASED SOFTWARE SYSTEM, PROCEEDINGS, 2006, : 43 - +
  • [29] Risk management and risk management performance measurement in the construction projects of Finland
    Rahman, Mohammad Shakilur
    Adnan, Tasminur Mannan
    JOURNAL OF PROJECT MANAGEMENT, 2020, 5 (03) : 167 - 178
  • [30] Testing calibration of risk models at extremes of disease risk
    Song, Minsun
    Kraft, Peter
    Joshi, Amit D.
    Barrdahl, Myrto
    Chatterjee, Nilanjan
    BIOSTATISTICS, 2015, 16 (01) : 143 - 154