Behavioral approach to market and default risks modeling Report as inadecuate




Behavioral approach to market and default risks modeling - Download this document for free, or read online. Document in PDF available to download.

Abstract

In this paper we discuss popular market and default risks modeling. We highlight some shortcomings. Then, we present the prospect and cumulative prospect theories. We discuss again the previous models under behavioral finance framework and get different results. Based on these results, we propose a new Value at Risk measure and make suggestions on other measures.



Item Type: MPRA Paper -

Original Title: Behavioral approach to market and default risks modeling-

Language: English-

Keywords: Noise Trading; Value at Risk; Probability of Default; Risk Measure Coherence; Risk Measure-s Estimator Coherence-

Subjects: G - Financial Economics > G1 - General Financial MarketsC - Mathematical and Quantitative Methods > C5 - Econometric ModelingG - Financial Economics > G0 - General-





Author: Taguedong, Sylvain Chamberlain

Source: https://mpra.ub.uni-muenchen.de/20641/







Related documents