About the Impact of Model Risk on Capital Reserves: A Quantitative Analysis
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References listed on IDEAS
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More about this item
KeywordsModel risk; Estimation risk; Misspecification risk; Basel multiplication factor; Empirical model specification; Capital reserves;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-04-02 (All new papers)
- NEP-CBA-2011-04-02 (Central Banking)
- NEP-CMP-2011-04-02 (Computational Economics)
- NEP-RMG-2011-04-02 (Risk Management)
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