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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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Methodology and Computing in Applied Probability, 2006
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Liu, S. X., Guo, J. Y.
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zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Liu, S. X., Guo, J. Y.
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Parameterizing credit risk models
The Journal of Credit Risk, 2004Approaches for modeling and estimating individual credit risk have been considerably improved during the last years, and latterly practitioners and researchers in the banking industry increasingly focus on quantification of portfolio credit risk. The main problem of this task is the lack of adequate time series of default data.
Alfred Hamerle, Daniel Roesch
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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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Credit migration risk modeling
The Journal of Credit Risk, 2008We consider the modelling of credit migration risk and the pricing of migration derivatives. To construct a Point-in-Time (PIT) rating migration matrix as the underlying value for derivative pricing we show first that the Affine Markov Chain models is not sufficient to generate PIT migration matrices in both, an economic boom and contraction.
Andreas Andersson, Paolo Vanini
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Modeling Ship Transportation Risk
Risk Analysis, 2000This article presents results from the Commission of the European Communities (CEC) project ‘Safety of Shipping in Coastal Waters’ (SAFECO). The project was performed by ten European partners during the period 1995‐1998. The principal aim of the SAFECO project was to determine the influences that could increase the safety of shipping in coastal waters ...
, Fowler, , Sorgard
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2012
Preface. What's New in the Second Edition. Acknowledgments. About the Author. Introduction. PART ONE: Risk Identification. CHAPTER 1: Moving Beyond Uncertainty. PART TWO: Risk Evaluation. CHAPTER 2: From Risk to Riches. CHAPTER 3: A Guide to Model-Building Etiquette. PART THREE: Risk Quantification.
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Preface. What's New in the Second Edition. Acknowledgments. About the Author. Introduction. PART ONE: Risk Identification. CHAPTER 1: Moving Beyond Uncertainty. PART TWO: Risk Evaluation. CHAPTER 2: From Risk to Riches. CHAPTER 3: A Guide to Model-Building Etiquette. PART THREE: Risk Quantification.
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