CAJ | 학술논문

随着金融衍生品的日益复杂化,衍生品定价过程中的模型风险越来越受到学术界与业界的重视。论文首先对模型风险的定义与度量的相关文献进行了回顾;然后对衍生品定价过程可能会产生模型风险的各个环节进行了综述,包括随机过程选择、估计方法选择、估计样本选择、定价理论范式选择、定价方法选择,并对其采用的理论、模型、方法进行了比较;最后对衍生品定价中各个环节的模型风险的共识和不足进行了总结,并对未来的研究方向进行了展望。
수착금융연생품적일익복잡화,연생품정개과정중적모형풍험월래월수도학술계여업계적중시。논문수선대모형풍험적정의여도량적상관문헌진행료회고;연후대연생품정개과정가능회산생모형풍험적각개배절진행료종술,포괄수궤과정선택、고계방법선택、고계양본선택、정개이론범식선택、정개방법선택,병대기채용적이론、모형、방법진행료비교;최후대연생품정개중각개배절적모형풍험적공식화불족진행료총결,병대미래적연구방향진행료전망。
As the financial derivatives have been innovated into ever more complex forms, more and more attention have been paid to the model risk in derivative pricing. This paper firstly re- views the literature relevant to definition and measurement of model risk. Then all aspects of pri- cing which may result in model risk are studied, including the choice of stochastic process, esti- mation methods, sample for estimation and pricing models, and the relevant theory, models and methods were also examined. Finally, all aspects of derivative pricing and both the consensus and deficiencies in study of model risk are summarized. Basing on the conclusion, future direc- tion of research was proposed.