【风险管理】Ch16模型风险（modelrisk）.pptVIP

什么是模型风险？ 模型是对现实的近似 模型有成立的前提和假设 当我们依赖模型做决策时忽略它的适用范围，就会带来模型风险. 模型风险的类型：模型中参数的估计误差；模型本身没有正确地说明现实；模型的实施误差. 注意： However model risk is more and more prevalent in industries other than financial securities valuation, such as consumer credit score, real-time probability prediction of a fraudulent credit card transaction to the probability of air flight passenger being a terrorist. 模型风险的影响 可能导致不正确的资产定价 当模型给出的价格失准—买入太高，卖出太低；影响对持有的头寸盯市计价 可能导致不正确的风险对冲 当使用错误的模型对冲，不能有效地消除损失. 如何盯市计价？ Use price quoted by market maker (usually financial institutions mark to mid of bid and offer) Use price at which financial institution has traded product Use interdealer broker prices Use interdealer price indications Use model (marking to model) Model Audit(审查) Groups Model audit groups within a bank Check that a model has been implemented correctly Examine whether there is a sound rationale for the model Compare the model with others that can accomplish the same task Specify limitations of model Assess uncertainties in prices and hedge parameters given by model 模型的检查 * 模型构建时存在的危险 Dangers in Model Building Overfitting Overparametrization * 发现模型中的问题 Detecting Model Problems Monitor types of trading a financial institution is doing with other financial institutions Monitor profits being recorded from trading of different products * * * * * * * * * 现实与卡通 Chapter16Model Risk * 盯市方式 * Accounting FASB 157 and IASB 39 classify instruments as “held for sale”(为变卖而持有，放在交易账户下) or “held to maturity” (放在银行账户下) Those classified as held for sale have to be marked to market Level 1: uses quoted prices in active markets Level 2: uses quoted prices for similar product in active markets or same product in non-active markets Level 3: requires valuation assumptions (models) 公平价格的会计准则 * Controversial Changes in 2008 and 2009 Banks can in rare circumstances reclassify instruments from “held for sale” to “held to maturity” and vice versa Banks can use model prices in preference to market prices when th