EconPapers    
Economics at your fingertips  
 

An Economic Evaluation of Model Risk in Long-term Asset Allocations

Christophe Boucher (), Gregory Jannin (), Patrick Kouontchou () and Bertrand Maillet
Additional contact information
Christophe Boucher: CEREFIGE - Centre Européen de Recherche en Economie Financière et Gestion des Entreprises - UL - Université de Lorraine
Gregory Jannin: PRISM Sorbonne - Variances et Université de Paris-1 - UP1 - Université Panthéon-Sorbonne
Patrick Kouontchou: CEREFIGE - Centre Européen de Recherche en Economie Financière et Gestion des Entreprises - UL - Université de Lorraine

Post-Print from HAL

Abstract: Following the recent crisis and the revealed weakness of risk management practices, regulators of developed markets have recommended that financial institutions assess model risk. Standard risk measures, such as the value-at-risk ( VaR), emerged during the 1990s as the industry standard for risk management and become today a key tool for asset allocation. This paper illustrates and estimates model risk, and focuses on the evaluation of its impact on optimal portfolios at various time horizons. Based on a long sample of US data, the paper finds a non-linear relation between VaR model errors and the horizon that impacts optimal asset allocations. [ABSTRACT FROM AUTHOR]

Keywords: ASSET allocation; FINANCIAL crises; RISK management in business; FINANCIAL institutions; VALUE at risk; ECONOMIC impact; ECONOMIC models (search for similar items in EconPapers)
Date: 2013
Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-01369201
References: Add references at CitEc
Citations Track citations by RSS feed

Published in Review of International Economics, 2013, 21 (3), pp.475 - 491

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: An Economic Evaluation of Model Risk in Long-term Asset Allocations (2013) Downloads
Working Paper: An Economic Evaluation of Model Risk in Long-term Asset Allocations (2013)
Working Paper: An Economic Evaluation of Model Risk in Long-term Asset Allocations (2013) Downloads
Working Paper: An Economic Evaluation of Model Risk In Long-term Asset Allocations (2013) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:hal:journl:hal-01369201

Access Statistics for this paper

More papers in Post-Print from HAL
Series data maintained by CCSD ().

 
Page updated 2017-06-13
Handle: RePEc:hal:journl:hal-01369201