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The riskiness of stock versus money market investment with stochastic rates

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Bibliographic Details
Main Authors: Dávid Zoltán, Szabó, Zsolt, Bihary
Format: Book
Language:English
Published: Springer 2023
Subjects:
riskiness
stochastic rates
Online Access:https://link.springer.com/article/10.1007/s10100-022-00814-4
https://dlib.phenikaa-uni.edu.vn/handle/PNK/7864
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spelling oai:localhost:PNK-78642023-04-13T02:16:33Z The riskiness of stock versus money market investment with stochastic rates Dávid Zoltán, Szabó Zsolt, Bihary riskiness stochastic rates CC BY To efficiently assess the performance of investing in stocks rather than in a bank account for the long run, stochastic interest rate modelling is advocated. We introduce a correlated stochastic interest rate model that addresses this problem. We derive analytic formulas for general spectral risk measures in our setting, and apply our results to Value at Risk, Expected Shortfall and GlueVaR. We characterize the short- and long-term behaviour of these risk measures. We fit our model to financial markets, perform an empirical study and evaluate risk numbers for realistic scenarios in the future. Our results reveal sizeable sensitivities on parameter estimation, but we may conclude that holding stocks for less than a few decades bears significant risk. 2023-04-13T02:16:33Z 2023-04-13T02:16:33Z 2023 Book https://link.springer.com/article/10.1007/s10100-022-00814-4 https://dlib.phenikaa-uni.edu.vn/handle/PNK/7864 en application/pdf Springer
institution Digital Phenikaa
collection Digital Phenikaa
language English
topic riskiness
stochastic rates
spellingShingle riskiness
stochastic rates
Dávid Zoltán, Szabó
Zsolt, Bihary
The riskiness of stock versus money market investment with stochastic rates
description CC BY
format Book
author Dávid Zoltán, Szabó
Zsolt, Bihary
author_facet Dávid Zoltán, Szabó
Zsolt, Bihary
author_sort Dávid Zoltán, Szabó
title The riskiness of stock versus money market investment with stochastic rates
title_short The riskiness of stock versus money market investment with stochastic rates
title_full The riskiness of stock versus money market investment with stochastic rates
title_fullStr The riskiness of stock versus money market investment with stochastic rates
title_full_unstemmed The riskiness of stock versus money market investment with stochastic rates
title_sort riskiness of stock versus money market investment with stochastic rates
publisher Springer
publishDate 2023
url https://link.springer.com/article/10.1007/s10100-022-00814-4
https://dlib.phenikaa-uni.edu.vn/handle/PNK/7864
_version_ 1763090279798145024
score 8.881002

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