Munich Personal RePEc Archive

Behavioral approach to market and default risks modeling

Taguedong, Sylvain Chamberlain (2009): Behavioral approach to market and default risks modeling. Published in: Chicago Booth School of Business Finance Research Papers and FEN Professional & Practitioner Papers Series (27. December 2009)

This is the latest version of this item.

[img]
Preview
PDF
MPRA_paper_21897.pdf

Download (510Kb) | Preview

Abstract

In this paper we discuss popular market and default risks modeling. We highlight some shortcomings. Then, we present the prospect and cumulative prospect theories. We discuss again the previous models under behavioral finance framework and get different results. Based on these results, we propose a new Value at Risk measure and make suggestions on other measures.

Available Versions of this Item

UB_LMU-Logo
MPRA is a RePEc service hosted by
the Munich University Library in Germany.