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Implications of a generic no-arbitrage condition on restructuring missing data

Kemper, B.P. (2019) Implications of a generic no-arbitrage condition on restructuring missing data.

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Abstract:In this paper we determine the impact of a no-arbitrage condition on parameter estimation using models which otherwise possibly yield arbitrage opportunities. By establishing a positive impact on the overall out-of-sample fit, we aim to assist banks in their dual goal to implement a proxy methodology which generates sufficiently realistic market risk scenarios, and to gain the approval of the regulator to apply the methodology.
Item Type:Essay (Master)
Clients:
Triple A - Risk Finance, Amsterdam, NL
Faculty:BMS: Behavioural, Management and Social Sciences
Subject:31 mathematics, 83 economics
Programme:Industrial Engineering and Management MSc (60029)
Link to this item:http://purl.utwente.nl/essays/79221
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