Results 211 to 220 of about 31,329,977 (262)
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Mathematical Finance, 2000
We first discuss some mathematical tools used to compute the intensity of a single jump process, in its canonical filtration. In the second part, we try to clarify the meaning of default and the links between the default time, the asset's filtration, and the intensity of the default time. We finally discuss some examples.
Elliott, R. J., Jeanblanc, M., Yor, M.
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We first discuss some mathematical tools used to compute the intensity of a single jump process, in its canonical filtration. In the second part, we try to clarify the meaning of default and the links between the default time, the asset's filtration, and the intensity of the default time. We finally discuss some examples.
Elliott, R. J., Jeanblanc, M., Yor, M.
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2008
A competing risks model is a model for multiple durations that start at the same point in time for a given subject, where the subject is observed until the first duration is completed and one also observes which of the multiple durations is completed first.
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A competing risks model is a model for multiple durations that start at the same point in time for a given subject, where the subject is observed until the first duration is completed and one also observes which of the multiple durations is completed first.
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Model risk in backtesting risk measures [PDF]
, 2014 Under the Basel II regulatory framework non-negligible statistical problems arise when backtesting risk measures. In this setting backtests often become infeasible due to a low number of violations leading to heavy size distortions. According to Escanciano and Olmo (2010, 2011) these problems persist when incorporating estimation and model risk by ...
Evers, Corinna, Rohde, Johannes
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Model Risk in Risk Models: Quantifying Statistical Uncertainty in Active Risk
The Journal of Portfolio Management, 2021Risk models commonly provide a portfolio’s ex ante active risk as a point forecast. Under the hood of risk models, this forecast relies on a bevy of statistical estimations that introduce uncertainty in the forecast. Failure to incorporate this uncertainty in the risk forecast can present an incomplete picture of the portfolio’s risk profile ...
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SSRN Electronic Journal, 2005
The worldwide concern with corporate governance concerns itself, inter alia, with the risks that an organization faces; for many, IT is significant among those risks. This paper examines the audit approach, and others, to dealing with risks in IT-based systems.
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The worldwide concern with corporate governance concerns itself, inter alia, with the risks that an organization faces; for many, IT is significant among those risks. This paper examines the audit approach, and others, to dealing with risks in IT-based systems.
openaire +2 more sources
SSRN Electronic Journal, 2011
Large banks assess their regulatory capital for market risk using complex, firm-wide Value-at-Risk (VaR) models. In their 'bottom-up' approach to VaR there are many sources of model risk. A recent amendment to banking regulations requires additional market risk capital to cover all these model risks but, as yet, there is no accepted framework for ...
Carol Alexander, José María Sarabia
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Large banks assess their regulatory capital for market risk using complex, firm-wide Value-at-Risk (VaR) models. In their 'bottom-up' approach to VaR there are many sources of model risk. A recent amendment to banking regulations requires additional market risk capital to cover all these model risks but, as yet, there is no accepted framework for ...
Carol Alexander, José María Sarabia
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The Identifiability of the Competing Risks Model
Biometrika, 1989This paper considers the consequences for identifiability of introducing regressors into the competing risks model of multistate duration analysis. We establish conditions under which access to regressors overturns the nonidentification theorem of \textit{D. R. Cox} [Renewal theory (1962; Zbl 0103.115)] and \textit{A. Tsiatis} [Proc. Natl. Acad.
Heckman, James J., Honoré, Bo E.
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A Multi-Risk SIR Model with Optimally Targeted Lockdown
, 2020We develop a multi-risk SIR model (MR-SIR) where infection, hospitalization and fatality rates vary between groups—in particular between the “young”, “the middleaged” and the “old”.
Daron Acemoglu +3 more
semanticscholar +1 more source
2013
The experience from the global financial crisis has raised serious concerns about the accuracy of standard risk measures as tools for the quantification of extreme downward risk. A key reason for this is that risk measures are subject to model risk due, e.g., to specification and estimation uncertainty.
Christophe M. Boucher +3 more
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The experience from the global financial crisis has raised serious concerns about the accuracy of standard risk measures as tools for the quantification of extreme downward risk. A key reason for this is that risk measures are subject to model risk due, e.g., to specification and estimation uncertainty.
Christophe M. Boucher +3 more
openaire +1 more source