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

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Taguedong, Sylvain Chamberlain (2009): Behavioral approach to market and default risks modeling. Published in: Chicago Booth School of Business Finance Research Papers and FEN Professional & Practitioner Papers Series (27 December 2009)
Classification:	G1 - General Financial Markets ; C5 - Econometric Modeling ; G0 - Financial Economics. General
Source:	BASE

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015221119