Results 11 to 20 of about 3,206,451 (267)
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 ...
Ilknur Zer +3 more
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Model risk on credit risk [PDF]
Risk and Decision Analysis, 2016 This paper develops the Jungle model in a credit portfolio framework. The Jungle model is able to model credit contagion, produce doubly-peaked probability distributions for the total default loss and endogenously generate quasi phase transitions, potentially leading to systemic credit events which happen unexpectedly and without an underlying single ...
J. Molins, Eduard Vives
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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
doaj +1 more source
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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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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Advancing nearshore and onshore tsunami hazard approximation with machine learning surrogates [PDF]
Natural Hazards and Earth System SciencesProbabilistic tsunami hazard assessment and probabilistic tsunami risk assessment (PTHA and PTRA) are vital methodologies for computing tsunami risk and prompt measures to mitigate impacts. However, their application across extensive coastlines, spanning
N. Ragu Ramalingam +4 more
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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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An Entropic Approach for Pair Trading
Entropy, 2017 In this paper, we derive the optimal boundary for pair trading. This boundary defines the points of entry into or exit from the market for a given stock pair.
Daisuke Yoshikawa
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One Year On from the New IRRBB / CSRBB Regulatory Framework: Evidence, Implementation Challenges and Open Issues from Italian Banks [PDF]
Risk Management MagazineThis paper provides an empirical assessment of the implementation of the new IRRBB and CSRBB regulatory framework approximately one years after its introduction, based on evidence from an AIFIRM survey on 25 Italian banks.
Igor Gianfrancesco +3 more
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