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Assessing financial model risk [PDF]
European Journal of Operational Research, 2013 Model risk has a huge impact on any risk measurement procedure and its quantification is therefore a crucial step. In this paper, we introduce three quantitative measures of model risk when choosing a particular reference model within a given class: the absolute measure of model risk, the relative measure of model risk and the local measure of model ...
Barrieu, Pauline, SCANDOLO, GIACOMO
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Bulletin of Applied Economics, 2021 20 pages; to appear in Bulletin of Applied Economics (in press)
Zura Kakushadze, Willie Yu
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Model Risk of Risk Models [PDF]
SSRN Electronic Journal, 2014 This paper evaluates the model risk of models used for forecasting systemic and market risk. Model risk, which is the potential for different models to provide inconsistent outcomes, is shown to be increasing with and caused by market uncertainty. During calm periods, the underlying risk forecast models produce similar risk readings, hence, model risk ...
Danielsson, Jon +3 more
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Model risk on credit risk [PDF]
Risk and Decision Analysis, 2016 This paper develops the Jungle model in a credit portfolio framework. The Jungle model is able to model credit contagion, produce doubly-peaked probability distributions for the total default loss and endogenously generate quasi phase transitions, potentially leading to systemic credit events which happen unexpectedly and without an underlying single ...
Molins, J. +1 more
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SSRN Electronic Journal, 2016 44 pages; a trivial typo corrected, references updated; to appear in The Journal of Investment Strategies.
Zura Kakushadze, Willie Yu
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Measuring Risk Aversion Model-Independently [PDF]
, 2010 We propose a new method to elicit individuals' risk preferences. Similar to Holt and Laury (2002), we use a simple multiple price-list format. However, our method is based on a general notion of increasing risk, which allows classifying individuals as ...
Maier, Johannes, Rüger, Maximilian
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Nephrology Dialysis Transplantation, 2013 Prognostic research focuses on the prediction of the future course of a given disease in probability terms. Prognostication is performed by clinical decision makers by using risk prediction models that allow us to estimate the probability that a specific event occurs in a given patient over a predefined time period conditional on prognostic factors ...
Vianda S. Stel +6 more
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Risk modelling and management: An overview [PDF]
Mathematics and Computers in Simulation, 2013 The papers in this special issue of Mathematics and Computers in Simulation are substantially revised versions of the papers that were presented at the 2011 Madrid International Conference on “Risk Modelling and Management” (RMM2011). The papers cover the following topics: currency hedging strategies using dynamic multivariate GARCH, risk management of
Chang, Chia-Lin +3 more
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Modelling Bluetongue Risk in Kazakhstan [PDF]
Parasites & Vectors, 2020 Abstract Background: Bluetongue is a serious disease of ruminants transmitted by biting midges (Culicoides spp). Serological evidence from livestock and the presence of at least one vector competent spp of Culicoides suggests that transmission of bluetongue is possible and may have occurred in Kazakhstan. Methods: We estimated the relative risk
Abdrakhmanov, Sarsenbay K +7 more
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Modelling environmental risk [PDF]
Environmental Modelling & Software, 2005 As environmental issues have become increasingly important in economic research and policy for sustainable development, firms in the private sector have introduced environmental and social issues in conducting their business activities. Such behaviour is tracked by the Dow Jones Sustainable Indexes (DJSI) through financial market indexes that are ...
Suhejla Hoti +2 more
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