Validating a short term financial risk model

Validating a short term financial risk model

Vrolijk, M.W.

Van der Weide, J.A.M. (mentor)

Electrical Engineering, Mathematics and Computer Science

Applied mathematics

Probability

2011-05-26

This thesis project considers validation methods for an existing solvency model for pension funds. The solvency model produces forecasts about the development of financial markets, fund investments, liabilities and, most important, the solvency of the fund. Since the model is a stochastic model, statistical inference is used to compare model outcomes with realized quantities. Several known methods are studied and described in this thesis to execute this model validation. These methods are applied on the solvency model. A testing procedure of risk driver forecasts is implemented and evaluated. Since a lot of data is needed to get a reliable outcome of the validation process, more data from inside th e model must be used and combined to get a better risk model.

financial risk model hypothesis testing

http://resolver.tudelft.nl/uuid:d2d07db9-ce50-49f2-83b0-6c864d07fa5d

2011-05-26

Student theses

master thesis

(c) 2011 Vrolijk, M.W.