University of Twente Student Theses
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: | https://purl.utwente.nl/essays/79221 |
| Export this item as: | BibTeX EndNote HTML Citation Reference Manager |
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