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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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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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2001
As discussed in the introductory chapter, the uncertainty associated with the future (terminal) value of a portfolio may be modelled as a random variable g[w(T)] whose probabilistic characteristics are specified by the induced probability measure P g or its associated distribution function F g .
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As discussed in the introductory chapter, the uncertainty associated with the future (terminal) value of a portfolio may be modelled as a random variable g[w(T)] whose probabilistic characteristics are specified by the induced probability measure P g or its associated distribution function F g .
openaire +1 more source
American Cancer Society's report on the status of cancer disparities in the United States, 2021
Ca-A Cancer Journal for Clinicians, 2022Farhad Islami +2 more
exaly
Cancer risk among World Trade Center rescue and recovery workers: A review
Ca-A Cancer Journal for Clinicians, 2022Paolo Boffetta +2 more
exaly
Cancer‐related risk factors and preventive measures in US Hispanics/Latinos
Ca-A Cancer Journal for Clinicians, 2012Priti Bandi
exaly
Cancer Risk Elicitation and Communication: Lessons from the Psychology of Risk Perception
Ca-A Cancer Journal for Clinicians, 2007Michael E Stefanek
exaly