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Assessing Financial Model Risk [PDF]
European Journal of Operational Research, 2013 Model risk has a huge impact on any risk measurement procedure and its quantification is therefore a crucial step. In this paper, we introduce three quantitative measures of model risk when choosing a particular reference model within a given class: the ...
Barrieu, Pauline, Scandolo, Giacomo
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Earthquake building damage detection based on synthetic-aperture-radar imagery and machine learning [PDF]
Natural Hazards and Earth System Sciences, 2023 This article presents a framework for semi-automated building damage assessment due to earthquakes from remote-sensing data and other supplementary datasets, while also leveraging recent advances in machine-learning algorithms.
A. Rao +6 more
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Banks, Financial Platforms and Big Data: Development Trends and Regulation Directions [PDF]
Финансовый журнал, 2022 The introduction of Big Data technology into banking activities is aimed at improving the efficiency of banks, improving business processes, however, it creates new risk factors and determines the need to transform regulatory approaches.
Sergey A. Vasiliev +2 more
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Backward Deep BSDE Methods and Applications to Nonlinear Problems
Risks, 2023 We present a pathwise deep Backward Stochastic Differential Equation (BSDE) method for Forward Backward Stochastic Differential Equations with terminal conditions that time-steps the BSDE backwards and apply it to the differential rates problem as a ...
Yajie Yu +2 more
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Predicting take-up of home loan offers using tree-based ensemble models: A South African case study
South African Journal of Science, 2021 We investigated different take-up rates of home loans in cases in which banks offered different interest rates. If a bank can increase its take-up rates, it could possibly improve its market share.
Tanja Verster +3 more
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Model Risk of Risk Models [PDF]
SSRN Electronic Journal, 2014 This paper evaluates the model risk of models used for forecasting systemic and market risk. Model risk, which is the potential for different models to provide inconsistent outcomes, is shown to be increasing with and caused by market uncertainty. During calm periods, the underlying risk forecast models produce similar risk readings, hence, model risk ...
Danielsson, Jon +3 more
openaire +4 more sources
A Gentle Introduction to Model Risk Quantification in Commercial Banking [PDF]
Risk Management Magazine, 2022 Model risk is investigated from a commercial banking viewpoint. We firstly analyze model misspecification. Then, the focus shifts towards model sensitivity. Finally, interactions among various models are scrutinized.
Tiziano Bellini
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An Entropic Approach for Pair Trading in PSX
Entropy, 2023 The perception in pair trading is to recognize that when two stocks move together, their prices will converge to a mean value in the future. However, finding the mean-reverted point at which the value of the pair will converge as well as the optimal ...
Laiba Amer, Tanweer Ul Islam
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Key factors to establish the ovalbumin-induced atopic dermatitis minipig model: age and body weight
Laboratory Animal Research, 2022 Background Given its similar structure and immune response to the human skin, porcine is a good model for dermal studies. Here, we sensitized ovalbumin (Ova) on minipig back skin for 2–4 weeks to induce chronic atopic dermatitis (AD).
Young Kyu Kim +5 more
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Journal of Economic and Financial Sciences, 2023 Orientation: Market events during the coronavirus disease 2019 (COVID-19) pandemic exposed flaws in the econometric models used to derive International Financial Reporting Standards (IFRS) 9 impairments.
Yolanda S. Stander
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