The modeling of financial risk, whose shortcomings came to the fore during the financial crisis, generally understands risk from the history of prices and returns. However, the state space of risk is not fully revealed from the history of prices and returns. In this dissertation, certain cognitive biases were modeled, and the simulation results were quantitatively characterized to reveal risk not revealed from the history of prices and returns. This contribution adds to the extant literature on the modeling of financial risk by showing how to reveal parts of the state space of risk not revealed from other methods in use today.
| Identifer | oai:union.ndltd.org:arizona.edu/oai:arizona.openrepository.com:10150/202772 |
| Date | January 2011 |
| Creators | Reddy, Praneel |
| Contributors | Rozenblit, Jerzy W., Lysecky, Susan, Lysecky, Roman, Rozenblit, Jerzy W. |
| Publisher | The University of Arizona. |
| Source Sets | University of Arizona |
| Language | English |
| Detected Language | English |
| Type | text, Electronic Dissertation |
| Rights | Copyright © is held by the author. Digital access to this material is made possible by the University Libraries, University of Arizona. Further transmission, reproduction or presentation (such as public display or performance) of protected items is prohibited except with permission of the author. |
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