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Model risk of systemic risk models

Danielsson, Jon and James, Kevin R. and Valenzuela, Marcela and Zer, Ilknur (2011) Model risk of systemic risk models. Jon Danielsson.

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Abstract

Statistical systemic risk measures (SRMs) have been proposed by several authors. Those generally depend on established methods from market risk forecasting. The two most common SRMs, MES and CoVaR, along with VaR, are compared theoretically and then critically empirically analyzed. They are found to contain a high degree of model risk so that the signal they produce is highly unreliable. Finally, the papers discusses the main problems in systemic risk forecasting and proposed evaluation criteria fur such models.

Item Type: Monograph (Working Paper)
Official URL: http://www.riskresearch.org/
Additional Information: © 2011 The Authors
Subjects: H Social Sciences > HB Economic Theory
H Social Sciences > HG Finance
Sets: Departments > Finance
Collections > Economists Online
Research centres and groups > Financial Markets Group (FMG)
Collections > LSE Financial Markets Group (FMG) Working Papers
Date Deposited: 16 Apr 2012 15:18
Last Modified: 27 Feb 2014 15:35
URI: http://eprints.lse.ac.uk/id/eprint/43137

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