Results 11 to 20 of about 7,849,545 (341)
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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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
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Nephrology Dialysis Transplantation, 2013 Prognostic research focuses on the prediction of the future course of a given disease in probability terms. Prognostication is performed by clinical decision makers by using risk prediction models that allow us to estimate the probability that a specific event occurs in a given patient over a predefined time period conditional on prognostic factors ...
Tripepi G +5 more
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Model Risk and Basic Approaches to its Estimation on Example of Market Risk Models [PDF]
Финансовый журнал, 2022 Model risk is currently a topic of great interest both to the academic community and to the financial industry; however, there is not yet any generally accepted approach to measuring it as of now.
Andrey Yu. Nevela, Victor A. Lapshin
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SSRN Electronic Journal, 2016 44 pages; a trivial typo corrected, references updated; to appear in The Journal of Investment Strategies.
Kakushadze, Zura, Yu, Willie
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Modelling environmental risk [PDF]
Environmental Modelling & Software, 2005 As environmental issues have become increasingly important in economic research and policy for sustainable development, firms in the private sector have introduced environmental and social issues in conducting their business activities. Such behaviour is tracked by the Dow Jones Sustainable Indexes (DJSI) through financial market indexes that are ...
Suhejla Hoti +2 more
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Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models
Risks, 2021 We focus on two particular aspects of model risk: the inability of a chosen model to fit observed market prices at a given point in time (calibration error) and the model risk due to the recalibration of model parameters (in contradiction to the model ...
Yu Feng +5 more
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Omega risk model with tax [PDF]
, 2014 In this paper we study the Omega risk model with surplus-dependent tax payments in a time-homogeneous diffusion setting. The new model incorporates practical features from both the Omega risk model(Albrecher and Gerber and Shiu (2011)) and the risk model
Cui, Zhenyu
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Mathematical Finance, 2019 AbstractWe provide sharp analytical upper and lower bounds for value‐at‐risk (VaR) and sharp bounds for expected shortfall (ES) of portfolios of any dimension subject to default risk. To do so, the main methodological contribution of the paper consists in analytically finding the convex hull generators for the class of exchangeable Bernoulli variables ...
Fontana R., Luciano E., Semeraro P.
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Data Science in Finance and Economics, 2022 In this study we consider the construction of through-the-cycle ("TTC") probability-of-default ("PD") models designed for credit underwriting uses and point-in-time ("PIT") PD models suitable for early warning uses, considering which validation elements ...
Michael Jacobs Jr.
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