Measuring Model Risk
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- Stahl, Gerhard & Sibbertsen, Philipp & Bertram, Philip, 2011. "Modellrisiko = Spezifikation + Validierung," Hannover Economic Papers (HEP) dp-468, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
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More about this item
Keywordsrisk evaluation; model risk; robust estimation; stress tests;
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-11-11 (All new papers)
- NEP-ECM-2008-11-11 (Econometrics)
- NEP-RMG-2008-11-11 (Risk Management)
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