A Look at Model Uncertainty in the Evaluation of Commodity Contingent Claims: A Practitioner's Guide
Model uncertainty in financial markets is prevalent by the very nature of how models are constructed and used by financial practitioners. As such, a proper characterization of model uncertainty should be paramount in the eyes of every practitioner, and furthermore, a proper framework for implementi...
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ndltd-LACETR-oai-collectionscanada.gc.ca-OTU.1807-356402013-11-02T03:43:50ZA Look at Model Uncertainty in the Evaluation of Commodity Contingent Claims: A Practitioner's GuideLukovich, Jovanuncertaintycommodity05460796Model uncertainty in financial markets is prevalent by the very nature of how models are constructed and used by financial practitioners. As such, a proper characterization of model uncertainty should be paramount in the eyes of every practitioner, and furthermore, a proper framework for implementing such a characterization towards financial activities should be implicit. While model uncertainty is acknowledged by practitioners, a cohesive and robust framework for determining a model uncertainty risk measure that is broadly accepted by practitioners is missing. We acknowledge this deficiency and provide a practitioner's guide for evaluating a modern characterization of model uncertainty, specifically that of Li and Kwon, as applied to a subset of derivative related calculations, with the goal of promoting its implementation by practitioners. We promote its implementation by demonstrating the utility and flexibility of such a characterization relative to another modern model uncertainty risk measure, specifically that of Cont.Kwon, Roy H.2013-062013-07-15T15:30:10ZNO_RESTRICTION2013-07-15T15:30:10Z2013-07-15Thesishttp://hdl.handle.net/1807/35640en_ca |
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en_ca |
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uncertainty commodity 0546 0796 |
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uncertainty commodity 0546 0796 Lukovich, Jovan A Look at Model Uncertainty in the Evaluation of Commodity Contingent Claims: A Practitioner's Guide |
description |
Model uncertainty in financial markets is prevalent by the very nature of how models are constructed and used by financial practitioners. As such, a proper characterization of model uncertainty should be paramount in the eyes of every practitioner, and furthermore, a proper framework for implementing such a characterization towards financial activities should be implicit. While model uncertainty is acknowledged by practitioners, a cohesive and robust framework for determining a model uncertainty risk measure that is broadly accepted by practitioners is missing. We acknowledge this deficiency and provide a practitioner's guide for evaluating a modern characterization of model uncertainty, specifically that of Li and Kwon, as applied to a subset of derivative related calculations, with the goal of promoting its implementation by practitioners. We promote its implementation by demonstrating the utility and flexibility of such a characterization relative to another modern model uncertainty risk measure, specifically that of Cont. |
author2 |
Kwon, Roy H. |
author_facet |
Kwon, Roy H. Lukovich, Jovan |
author |
Lukovich, Jovan |
author_sort |
Lukovich, Jovan |
title |
A Look at Model Uncertainty in the Evaluation of Commodity Contingent Claims: A Practitioner's Guide |
title_short |
A Look at Model Uncertainty in the Evaluation of Commodity Contingent Claims: A Practitioner's Guide |
title_full |
A Look at Model Uncertainty in the Evaluation of Commodity Contingent Claims: A Practitioner's Guide |
title_fullStr |
A Look at Model Uncertainty in the Evaluation of Commodity Contingent Claims: A Practitioner's Guide |
title_full_unstemmed |
A Look at Model Uncertainty in the Evaluation of Commodity Contingent Claims: A Practitioner's Guide |
title_sort |
look at model uncertainty in the evaluation of commodity contingent claims: a practitioner's guide |
publishDate |
2013 |
url |
http://hdl.handle.net/1807/35640 |
work_keys_str_mv |
AT lukovichjovan alookatmodeluncertaintyintheevaluationofcommoditycontingentclaimsapractitionersguide AT lukovichjovan lookatmodeluncertaintyintheevaluationofcommoditycontingentclaimsapractitionersguide |
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