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Hedging parameter risk

Claussen, Arndt ; Rösch, Daniel ; Schmelzle, Martin



Abstract

The accurate measurement and effective control of financial risk are of crucial importance to risk managers and regulators. However, risk measures are potentially affected by errors in the estimation of model parameters from limited samples, leading to parameter risk. The key contribution of this paper is the formulation of a general framework to hedge this parameter risk. Applying the new ...

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