Behavioral approach to market and default risks modeling

Sylvain Chamberlain Taguedong

MPRA Paper from University Library of Munich, Germany

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.

Keywords: Noise Trading; Value at Risk; Probability of Default; Risk Measure Coherence; Risk Measure's Estimator Coherence (search for similar items in EconPapers)
JEL-codes: C5 G0 G1 (search for similar items in EconPapers)
Date: 2009-12-27
New Economics Papers: this item is included in nep-rmg and nep-upt
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https://mpra.ub.uni-muenchen.de/20641/1/MPRA_paper_20641.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/21897/1/MPRA_paper_21897.pdf revised version (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:20641

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