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    题名: A systematic design for coping with model risk
    作者: Yang,Yu-Hsiang;Tsaih,Rua-Huan;Hsieh,Ming-Hua
    楊喻翔;蔡瑞煌;謝明華
    贡献者: 風管系
    关键词: Design science;Model risk;Strategic-level simulation systems;System flexibility;Dynamic Financial Analysis
    日期: 2011-06
    上传时间: 2014-02-27 16:18:15 (UTC+8)
    摘要: Model risk has become an important risk that must be taken into account by financial institutions when they make the strategic-level decision of company’s solvency control and risk management through simulating and analyzing company’s financial situation. To effectively cope with the model risk, the strategic-level simulation system (SSS) that implements the business view and economic environment and generates various useful financial and risk management reports cannot be treated as a static information system. Rather, SSS represents a family of possibilities because the senior manager who performs the simulation has a role in how the simulation is actually carried out. The extent of these variations is likely to increase when the business environment changes, the relevant financial theories evolve, and the senior manager assesses the system flexibility of SSS. Hereby, the system flexibility of SSS means its users, normally the senior manager, can have the luxury of modifying themselves the embedded functions associated with certain risk factors through the (user-friendly) interface. Based upon the guidance of design science, this study proposes a systematical way of designing a SSS that can effectively cope with the model risk. Specifically, this study takes the Dynamic Financial Analysis system as an example to illustrate the proposed system design.
    關聯: Expert Systems with Applications, 38(6), 7380-7386
    資料來源: http://dx.doi.org/10.1016/j.eswa.2010.12.088
    数据类型: article
    DOI 連結: http://dx.doi.org/http://dx.doi.org/10.1016/j.eswa.2010.12.088
    DOI: 10.1016/j.eswa.2010.12.088
    显示于类别:[風險管理與保險學系] 期刊論文

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