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Hedging parameter risk

Claussen, Arndt, Rösch, Daniel and Schmelzle, Martin (2019) Hedging parameter risk. Journal of Banking and Finance 100, pp. 111-121.

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Other URL: https://authors.elsevier.com/c/1YPRv1M2rGDuZ0


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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Item type:Article
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Statistik und Risikomanagement (Prof. Dr. Rösch)
Interdisciplinary Subject Network:Immobilien- und Kapitalmärkte
Research groups and research centres:Center of Finance
Keywords:Estimation error Parameter risk Hedging
Dewey Decimal Classification:300 Social sciences > 310 General statistics
300 Social sciences > 330 Economics
600 Technology > 650 Management & auxiliary services
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Partially
Item ID:38366
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