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An Economic Evaluation of the Model Risk for Risk Models
SSRN Electronic Journal, 2011The recent experience from the global financial crisis has raised serious doubts about the accuracy of standard risk measures as a tool to quantify extreme downward risks. Standard risk measures are subject to a “model risk” due to the specification and estimation uncertainty.
Bertrand B. Maillet +2 more
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On Modeling Banking Risk [PDF]
SSRN Electronic Journal, 2014 The paper develops new indices of financial stability based on an explicit model of expected utility maximization by financial institutions subject to the classical technology restrictions of neoclassical production theory. The model can be estimated using standard econometric techniques, like GMM for dynamic panel data and latent factor analysis for ...
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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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Conceptual Model of Risk: Towards a Risk Modelling Language
2007Nowadays organisations are subjects to frequent changes requiring continuous strategic alignment of business processes subject to increasing compliance requirements. We suggest a holistic integration of process management and risk management supporting a robust management of business processes while improving organisation's resilience.
Amadou Sienou +3 more
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European Journal of Preventive Cardiology, 2012
An individual's overall cardiovascular risk should guide appropriate therapy and patient management. Several risk assessment scores are available; however, further development of risk algorithms is necessary to account for changes in available treatments and patient lifestyles, to make use of emerging risk factors and more accurate methods for ...
David, Prieto-Merino, Stuart J, Pocock
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An individual's overall cardiovascular risk should guide appropriate therapy and patient management. Several risk assessment scores are available; however, further development of risk algorithms is necessary to account for changes in available treatments and patient lifestyles, to make use of emerging risk factors and more accurate methods for ...
David, Prieto-Merino, Stuart J, Pocock
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Robust risk measurement and model risk
Quantitative Finance, 2012Financial risk measurement relies on models of prices and other market variables, but models inevitably rely on imperfect assumptions and estimates, creating model risk. Moreover, optimization decisions, such as portfolio selection, amplify the effect of model error. In this work, we develop a framework for quantifying the impact of model error and for
Paul Glasserman, Xingbo Xu
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Modeling the Risk in Mortality Projections
Operations Research, 2022Capturing the Uncertainty in Long-Term Mortality Forecasts The uncertainty in future longevity presents a substantial risk factor for insurance companies, pension funds, and retirement systems. In “Modeling the Risk in Mortality Projections,” Zhu and Bauer present novel stochastic models for analyzing this longevity risk that focus on the uncertainty
Nan Zhu, Daniel Bauer
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Neonatal Risk Modeling and Prediction
2023 IEEE 19th International Conference on Body Sensor Networks (BSN), 2023Electronic fetal monitoring (EFM) is designed for the early detection of fetal risks and the prevention of serious neurological impairment but suffers from high false positive rates. The Fetal Reserve Index (FRI) is an expert-based system that combines EFM with maternal, obstetrical, and fetal risk factors and displays superior performance in risk ...
Abdullah Mamun +6 more
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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
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.
openaire +4 more sources