论文标题
连续时间融资模型中模型风险的度量
Measures of Model Risk in Continuous-time Finance Models
论文作者
论文摘要
监管机构在金融和保险市场上要求测量模型风险。我们将模型风险分为参数估计风险和模型规范风险，并提出了适用于征税跳跃模型和仿射跳跃扩散模型的预期短缺类型模型风险度量。我们研究了参数估计风险和模型规范风险对模型捕获股票和期权价格联合动态的能力的影响。我们在风险中立的概率度量和现实世界中的概率度量下，使用马尔可夫链蒙特卡洛技术估计参数。我们发现有力的证据支持价格上涨的建模。
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.
