Model Risk Analysis via Investment Structuring
General Finance
2015-07-29 v2 Mathematical Finance
Risk Management
Abstract
"What are the origins of risks?" and "How material are they?" -- these are the two most fundamental questions of any risk analysis. Quantitative Structuring -- a technology for building financial products -- provides economically meaningful answers for both of these questions. It does so by considering risk as an investment opportunity. The structure of the investment reveals the precise sources of risk and its expected performance measures materiality. We demonstrate these capabilities of Quantitative Structuring using a concrete practical example -- model risk in options on vol-targeted indices.
Cite
@article{arxiv.1507.07216,
title = {Model Risk Analysis via Investment Structuring},
author = {Andrei N. Soklakov},
journal= {arXiv preprint arXiv:1507.07216},
year = {2015}
}
Comments
11 pages, 2 figures