IDEAS home Printed from https://ideas.repec.org/p/arx/papers/1507.07216.html
   My bibliography  Save this paper

Model Risk Analysis via Investment Structuring

Author

Listed:
  • Andrei N. Soklakov

Abstract

"What are the origins of risks?" and "How material are they?" -- these are the two most fundamental questions of any risk analysis. Quantitative Structuring -- a technology for building financial products -- provides economically meaningful answers for both of these questions. It does so by considering risk as an investment opportunity. The structure of the investment reveals the precise sources of risk and its expected performance measures materiality. We demonstrate these capabilities of Quantitative Structuring using a concrete practical example -- model risk in options on vol-targeted indices.

Suggested Citation

  • Andrei N. Soklakov, 2015. "Model Risk Analysis via Investment Structuring," Papers 1507.07216, arXiv.org, revised Jul 2015.
    • Handle: RePEc:arx:papers:1507.07216
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/1507.07216
    File Function: Latest version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Andrei N. Soklakov, 2015. "Why Quantitative Structuring?," Papers 1507.07219, arXiv.org, revised Sep 2020.
    2. Andrei N. Soklakov, 2015. "One trade at a time -- unraveling the Equity Premium Puzzle," Papers 1507.07214, arXiv.org, revised Aug 2020.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Andrei N. Soklakov, 2015. "Why Quantitative Structuring?," Papers 1507.07219, arXiv.org, revised Sep 2020.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Andrei N. Soklakov, 2015. "Why Quantitative Structuring?," Papers 1507.07219, arXiv.org, revised Sep 2020.
    2. Andrei N. Soklakov, 2022. "Information Geometry of Risks and Returns," Papers 2206.08753, arXiv.org, revised Jun 2023.

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1507.07216. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.