Behavioral approach to market and default risks modeling

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.

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Year of publication:	2009-12-27
Authors:	Taguedong, Sylvain Chamberlain
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Noise Trading \| Value at Risk \| Probability of Default \| Risk Measure Coherence \| Risk Measure's Estimator Coherence

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	G1 - General Financial Markets ; C5 - Econometric Modeling ; G0 - Financial Economics. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008543781