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Ten Years of the Relative Risk Model and Regional Scale Ecological Risk Assessment [PDF]
Human and Ecological Risk Assessment (HERA), 2007 It has been 10 years since the publication of the relative risk model (RRM) for regional scale ecological risk assessment. The approach has since been used successfully for a variety of freshwater, marine, and terrestrial environments in North America ...
Wayne G Landis
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Journal of Banking & Finance, 2014
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 risks. A key reason for this is that risk measures are subject to a model risk due, e.g. to specification and estimation uncertainty.
Boucher, Christophe +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 risks. A key reason for this is that risk measures are subject to a model risk due, e.g. to specification and estimation uncertainty.
Boucher, Christophe +3 more
openaire +2 more sources
COPING WITH LONG TERM MODEL RISK IN MARKET RISK MODELS
Proceedings of the 1st International Conference on Operations Research and Enterprise Systems, 2012The recent financial crisis has shown that most market risk models – even if they deliver sufficiently accurate risk figures over short time horizons – are not able to provide reliable forecasts for risk figures over longer time horizons like three, twelve or 36 months, which are the basis for both limit management and economic capital planning.
Spangler, Manuela, Werner, Ralf
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The Journal of Risk Model Validation, 2008 Model risk as part of the operational risk is a serious problem for financial institutions. As the pricing of derivatives as well as the computation of the market or credit risk of an institution depend on statistical models the application of a wrong model can lead to a serious overor underestimation of the institution’s risk.
Sibbertsen, Philipp +2 more
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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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The Risk of Determining Risk with Multivariable Models
Annals of Internal Medicine, 1993To review the principles of multivariable analysis and to examine the application of multivariable statistical methods in general medical literature.A computer-assisted search of articles in The Lancet and The New England Journal of Medicine identified 451 publications containing multivariable methods from 1985 through 1989.
J, Concato, A R, Feinstein, T R, Holford
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Journal of Acquired Immune Deficiency Syndromes, 1999
To provide HIV risk estimates for specific local population subgroups using an HIV risk index combining HIV risk behaviors, prevalence rates, and transmission probabilities.A sample of 270 individuals was studied. Respondents described sexual and injection risk behaviors and partners in the previous 30 days.
D C, Bell, R A, Trevino
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To provide HIV risk estimates for specific local population subgroups using an HIV risk index combining HIV risk behaviors, prevalence rates, and transmission probabilities.A sample of 270 individuals was studied. Respondents described sexual and injection risk behaviors and partners in the previous 30 days.
D C, Bell, R A, Trevino
openaire +2 more sources
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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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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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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