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Une évaluation économique du risque de modèle pour les investisseurs de long-terme

Author

Listed:
  • Christophe Boucher

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, A.A.Advisors-QCG - ABN AMRO)

  • Benjamin Hamidi

    (Neuflize OBC Investissements - Neuflize OBC Investissements)

  • Patrick Kouontchou

    (CEREFIGE - Centre Européen de Recherche en Economie Financière et Gestion des Entreprises - UL - Université de Lorraine)

  • Bertrand Maillet

    (A.A.Advisors-QCG - ABN AMRO, LEO - Laboratoire d'Économie d'Orleans [UMR7322] - UO - Université d'Orléans - UT - Université de Tours - CNRS - Centre National de la Recherche Scientifique)

Abstract

The recent experience from the global financial crisis has raised serious questions about the accuracy of standard risk measures as a tool to quantify extreme downward risks. These standard risk measures, such as the VaR, emerge over the last decades as the industry standard for risk management and asset allocation (Basak and Shapiro [2001]; Montfort [2008]). We estimate the riskiness of risk models and we evaluate its impact on optimal portfolios at various time horizons. Based on a long sample of U.S. data, we find an inverse U-shape relation between VaR model errors and the horizon that impacts the optimal asset allocation of the representative agent.

Suggested Citation

  • Christophe Boucher & Benjamin Hamidi & Patrick Kouontchou & Bertrand Maillet, 2012. "Une évaluation économique du risque de modèle pour les investisseurs de long-terme," Working Papers halshs-00825337, HAL.
    • Handle: RePEc:hal:wpaper:halshs-00825337
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00825337
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    References listed on IDEAS

    as
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