Add to ORKGISBN : 978-2-7056-6970-6In these notes we introduce some mathematical material to define, analyze, estimate and control model risk in Finance. We start with explaining why statistical and calibration techniques may not avoid facing model risk. We then present a couple of model risk measures and control strategies. Finally, we propose a mathematical framework to rigorously study the performances of strategies which, based on technical analysis, are not sensitive to model risk, and we compare these strategies to those which are based on mathematical models and therefore are subject to model risk
The recent financial crisis and it’s impact on the broader economy underscore the importance of fina...
This book provides a hands-on guide to how financial models are actually implemented and used in pra...
National audienceThis paper discusses the use of Bayesian approaches when the models are misspecifie...
The financial systems in most developed countries today build up a large amount of model risk on a d...
The financial systems in most developed countries today build up a large amount of model risk on a d...
The paper discusses the problem of model risk, defined as risk resulting from the application of wro...
International audienceThis book provides a perspective on a number of approaches to financial modell...
Masters in BMI Risk Analysis, North-West University, Potchefstroom CampusFinancial risk models are s...
University of Technology Sydney. Faculty of Business.The renowned statistician George E. P. Box wrot...
Model risk has a huge impact on any risk measurement procedure and its quantification is therefore a...
Book synopsis: You cannot afford to ignore the explosion in mathematical finance in your quest to re...
Modern finance would not have been possible without models. Increasingly complex quantitative models...
This paper evaluates the model risk of models used for forecasting systemic and market risk. Model r...
n traditional portfolio theory, risk management is limited to the choice of the relative weights of ...
International audienceOne of the main concerns and regulatory topics that financial institutions hav...
The recent financial crisis and it’s impact on the broader economy underscore the importance of fina...
This book provides a hands-on guide to how financial models are actually implemented and used in pra...
National audienceThis paper discusses the use of Bayesian approaches when the models are misspecifie...
The financial systems in most developed countries today build up a large amount of model risk on a d...
The financial systems in most developed countries today build up a large amount of model risk on a d...
The paper discusses the problem of model risk, defined as risk resulting from the application of wro...
International audienceThis book provides a perspective on a number of approaches to financial modell...
Masters in BMI Risk Analysis, North-West University, Potchefstroom CampusFinancial risk models are s...
University of Technology Sydney. Faculty of Business.The renowned statistician George E. P. Box wrot...
Model risk has a huge impact on any risk measurement procedure and its quantification is therefore a...
Book synopsis: You cannot afford to ignore the explosion in mathematical finance in your quest to re...
Modern finance would not have been possible without models. Increasingly complex quantitative models...
This paper evaluates the model risk of models used for forecasting systemic and market risk. Model r...
n traditional portfolio theory, risk management is limited to the choice of the relative weights of ...
International audienceOne of the main concerns and regulatory topics that financial institutions hav...
The recent financial crisis and it’s impact on the broader economy underscore the importance of fina...
This book provides a hands-on guide to how financial models are actually implemented and used in pra...
National audienceThis paper discusses the use of Bayesian approaches when the models are misspecifie...