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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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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
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2023
This book provides the first systematic treatment of model risk, outlining the tools needed to quantify model uncertainty, to study its effects, and, in particular, to determine the best upper and lower risk bounds for various risk aggregation functionals of interest.
Rüschendorf, Ludger +2 more
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This book provides the first systematic treatment of model risk, outlining the tools needed to quantify model uncertainty, to study its effects, and, in particular, to determine the best upper and lower risk bounds for various risk aggregation functionals of interest.
Rüschendorf, Ludger +2 more
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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
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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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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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