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雷达卡
摘要翻译：
度量模型风险是金融和保险市场监管机构的要求。我们将模型风险分为参数估计风险和模型规范风险，并提出了应用于Levy跳跃模型和仿射跳跃扩散模型的期望缺口型模型风险度量。我们研究了参数估计风险和模型规范风险对模型捕捉股票和期权价格联合动态能力的影响。在风险中性概率测度和现实世界概率测度下，采用马尔可夫链蒙特卡罗方法估计参数。我们发现强有力的证据支持价格跳跃的建模。
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英文标题：
《Measures of Model Risk in Continuous-time Finance Models》
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作者：
Emese Lazar, Shuyuan Qi, Radu Tunaru
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最新提交年份：
2020
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分类信息：
一级分类：Economics 经济学
二级分类：Econometrics 计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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英文摘要：
Measuring model risk is required by regulators on financial and insurance markets. We separate model risk into parameter estimation risk and model specification risk, and we propose expected shortfall type model risk measures applied to Levy jump models and affine jump-diffusion models. We investigate the impact of parameter estimation risk and model specification risk on the models' ability to capture the joint dynamics of stock and option prices. We estimate the parameters using Markov chain Monte Carlo techniques, under the risk-neutral probability measure and the real-world probability measure jointly. We find strong evidence supporting modeling of price jumps.
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PDF链接：
https://arxiv.org/pdf/2010.08113
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