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A Methodology for Assessing Model Risk and its Application to the Implied Volatility Function Model

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  • Hull, John
  • Suo, Wulin
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    Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

    Volume (Year): 37 (2002)
    Issue (Month): 02 (June)
    Pages: 297-318

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    Handle: RePEc:cup:jfinqa:v:37:y:2002:i:02:p:297-318_00

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    Cited by:
    1. Hato Schmeiser & Caroline Siegel & Joël Wagner, 2012. "The risk of model misspecification and its impact on solvency measurement in the insurance sector," Journal of Risk Finance, Emerald Group Publishing, vol. 13(4), pages 285-308.
    2. Andreou, Panayiotis C. & Charalambous, Chris & Martzoukos, Spiros H., 2010. "Generalized parameter functions for option pricing," Journal of Banking & Finance, Elsevier, vol. 34(3), pages 633-646, March.
    3. Bernd Engelmann & Matthias Fengler & Morten Nalholm & Peter Schwendner, 2006. "Static versus dynamic hedges: an empirical comparison for barrier options," Review of Derivatives Research, Springer, vol. 9(3), pages 239-264, November.
    4. Kerkhof, Jeroen & Melenberg, Bertrand & Schumacher, Hans, 2010. "Model risk and capital reserves," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 267-279, January.
    5. Danielsson, Jon & James, Kevin & Valenzuela, Marcela & Zer, Ilknur, 2014. "Model Risk of Risk Models," Finance and Economics Discussion Series 2014-34, Board of Governors of the Federal Reserve System (U.S.).
    6. Peter Christoffersen & Kris Jacobs, 2003. "The Importance of the Loss Function in Option Valuation," CIRANO Working Papers 2003s-52, CIRANO.
    7. Sommer, Kamila, 2014. "Fertility Choice in a Life Cycle Model with Idiosyncratic Uninsurable Earnings Risk," Finance and Economics Discussion Series 2014-32, Board of Governors of the Federal Reserve System (U.S.).
    8. Huh, Yesol, 2014. "Machines vs. Machines: High Frequency Trading and Hard Information," Finance and Economics Discussion Series 2014-33, Board of Governors of the Federal Reserve System (U.S.).

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