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The role of the Model Validation function to manage and mitigate model risk

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  • Alberto Elices

Abstract

This paper describes the current taxonomy of model risk, ways for its mitigation and management and the importance of the model validation function in collaboration with other departments to design and implement them.

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  • Alberto Elices, 2012. "The role of the Model Validation function to manage and mitigate model risk," Papers 1211.0225, arXiv.org.
    • Handle: RePEc:arx:papers:1211.0225
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    References listed on IDEAS

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    1. Alberto Elices & Eduard Gim�nez, 2012. "Applying hedging strategies to estimate model risk and provision calculation," Quantitative Finance, Taylor & Francis Journals, vol. 13(7), pages 1015-1028, October.
    2. Rama Cont, 2006. "Model Uncertainty And Its Impact On The Pricing Of Derivative Instruments," Mathematical Finance, Wiley Blackwell, vol. 16(3), pages 519-547, July.
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