Results 311 to 320 of about 32,991,499 (363)
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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The evolution of model risk management processes
Journal of Risk Management in Financial Institutions, 2019Model risk is a relatively new area that only recently separated from operational risk. This paper provides an overview of what needs to be done in model risk management versus the older concept of model validation.
Maurizio Garro
semanticscholar +1 more source
The Riskiness of Risk Models [PDF]
SSRN Electronic Journal, 2011 We provide an economic valuation of the riskiness of risk models by directly measuring the impact of model risks (specification and estimation risks) on VaR estimates. We find that integrating the model risk into the VaR computations implies a substantial minimum correction of the order of 10-40% of VaR levels.
Christophe Boucher, Bertrand Maillet
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Believing the Bot - Model Risk in the Era of Deep Learning
Social Science Research Network, 2019Deep Learning models are currently being introduced into business processes to support decision-making in insurance companies. At the same time model risk is recognized as an increasingly relevant field within the management of operational risk that ...
Ronald Richman +2 more
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Model Risk Measures: A Review and New Proposals on Risk Forecasting
Social Science Research Network, 2019In financial decisions, model risk has been recognized as an important source of uncertainty. The revision of the Basel II suggests that financial institutions quantify and manage their model risk. Focusing on risk forecasting literature, we identify two
F. Müller, M. Righi
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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.
Roberto A. Trevino, David C. Bell
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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.
Roberto A. Trevino, David C. Bell
openaire +2 more sources
, 2018
The Federal Reserve Board (Fed) and Office of the Comptroller of the Currency (OCC) issued SR 11-7 (OCC 2011-12 for the OCC) on April 4, 2011, and the Federal Deposit Insurance Corporation (FDIC) adopted it as FIL-22-2017 on June 7, 2017.
N. Kiritz, Philippe Sarfati
semanticscholar +1 more source
The Federal Reserve Board (Fed) and Office of the Comptroller of the Currency (OCC) issued SR 11-7 (OCC 2011-12 for the OCC) on April 4, 2011, and the Federal Deposit Insurance Corporation (FDIC) adopted it as FIL-22-2017 on June 7, 2017.
N. Kiritz, Philippe Sarfati
semanticscholar +1 more source
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 Maillet +2 more
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An Investigation of Model Risk in a Market with Jumps and Stochastic Volatility
European Journal of Operational Research, 2016The aim of this paper is to investigate model risk aspects of variance swaps and forward-start options in a realistic market setup where the underlying asset price process exhibits stochastic volatility and jumps.
Guillaume Coqueret, B. Tavin
semanticscholar +1 more source