Journal of Banking & Finance Vol. 100 2019
Hedging parameter risk
Abstract
The accurate measurement and effective control of financial risk are of crucial importance to risk managers and regulators. However, risk measures are potentially affected by errors in the estimation of model parameters from limited samples, leading to parameter risk. The key contribution of this paper is the formulation of a general framework to hedge this parameter risk. Applying the new framework to credit portfolio modeling, we highlight the importance of parameter risk, estimation methods, and diversification effects.
- DOI
- 10.1016/j.jbankfin.2019.01.003
- Volume
- 100
- Pages
- 111-121
- Language
- en
- Sources
- openalex crossref bibtex:phds-export.bib