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Assessing financial model risk

Citations

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Cited by:

  1. Marcelo Brutti Righi & Fernanda Maria Muller & Marlon Ruoso Moresco, 2017. "On a robust risk measurement approach for capital determination errors minimization," Papers 1707.09829, arXiv.org, revised Oct 2020.
  2. Farkas, Walter & Fringuellotti, Fulvia & Tunaru, Radu, 2020. "A cost-benefit analysis of capital requirements adjusted for model risk," Journal of Corporate Finance, Elsevier, vol. 65(C).
  3. Ballotta, Laura & Deelstra, Griselda & Rayée, Grégory, 2017. "Multivariate FX models with jumps: Triangles, Quantos and implied correlation," European Journal of Operational Research, Elsevier, vol. 260(3), pages 1181-1199.
  4. Lazar, Emese & Qi, Shuyuan, 2022. "Model risk in the over-the-counter market," European Journal of Operational Research, Elsevier, vol. 298(2), pages 769-784.
  5. Bignozzi, Valeria & Macci, Claudio & Petrella, Lea, 2018. "Large deviations for risk measures in finite mixture models," Insurance: Mathematics and Economics, Elsevier, vol. 80(C), pages 84-92.
  6. Thierry Cohignac & Nabil Kazi-Tani, 2019. "Quantile Mixing and Model Uncertainty Measures," Working Papers hal-02405859, HAL.
  7. Thibaut Lux & Antonis Papapantoleon, 2016. "Model-free bounds on Value-at-Risk using extreme value information and statistical distances," Papers 1610.09734, arXiv.org, revised Nov 2018.
  8. Mercadier, Mathieu & Strobel, Frank, 2021. "A one-sided Vysochanskii-Petunin inequality with financial applications," European Journal of Operational Research, Elsevier, vol. 295(1), pages 374-377.
  9. Mohammed Berkhouch & Fernanda Maria Müller & Ghizlane Lakhnati & Marcelo Brutti Righi, 2022. "Deviation-Based Model Risk Measures," Computational Economics, Springer;Society for Computational Economics, vol. 59(2), pages 527-547, February.
  10. Claudio Albanese & Cyril B'en'ezet & St'ephane Cr'epey, 2022. "Hedging Valuation Adjustment and Model Risk," Papers 2205.11834, arXiv.org, revised Dec 2023.
  11. Lin, Edward M.H. & Sun, Edward W. & Yu, Min-Teh, 2020. "Behavioral data-driven analysis with Bayesian method for risk management of financial services," International Journal of Production Economics, Elsevier, vol. 228(C).
  12. Bernard, Carole & Kazzi, Rodrigue & Vanduffel, Steven, 2020. "Range Value-at-Risk bounds for unimodal distributions under partial information," Insurance: Mathematics and Economics, Elsevier, vol. 94(C), pages 9-24.
  13. Volker Stein & Arnd Wiedemann, 2016. "Risk governance: conceptualization, tasks, and research agenda," Journal of Business Economics, Springer, vol. 86(8), pages 813-836, November.
  14. Despoina Makariou & Pauline Barrieu & George Tzougas, 2021. "A Finite Mixture Modelling Perspective for Combining Experts’ Opinions with an Application to Quantile-Based Risk Measures," Risks, MDPI, vol. 9(6), pages 1-25, June.
  15. Bernard, Carole & Vanduffel, Steven, 2015. "A new approach to assessing model risk in high dimensions," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 166-178.
  16. Makariou, Despoina & Barrieu, Pauline & Tzougas, George, 2021. "A finite mixture modelling perspective for combining experts’ opinions with an application to quantile-based risk measures," LSE Research Online Documents on Economics 110763, London School of Economics and Political Science, LSE Library.
  17. Mai Jan-Frederik & Schenk Steffen & Scherer Matthias, 2015. "Analyzing model robustness via a distortion of the stochastic root: A Dirichlet prior approach," Statistics & Risk Modeling, De Gruyter, vol. 32(3-4), pages 177-195, December.
  18. Valeriane Jokhadze & Wolfgang M. Schmidt, 2020. "Measuring Model Risk In Financial Risk Management And Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(02), pages 1-37, April.
  19. Braouezec, Yann & Grunspan, Cyril, 2016. "A new elementary geometric approach to option pricing bounds in discrete time models," European Journal of Operational Research, Elsevier, vol. 249(1), pages 270-280.
  20. Tolulope Fadina & Ariel Neufeld & Thorsten Schmidt, 2018. "Affine processes under parameter uncertainty," Papers 1806.02912, arXiv.org, revised Mar 2019.
  21. Coqueret, Guillaume & Tavin, Bertrand, 2016. "An investigation of model risk in a market with jumps and stochastic volatility," European Journal of Operational Research, Elsevier, vol. 253(3), pages 648-658.
  22. Martin Herdegen & Cosimo Munari, 2023. "An elementary proof of the dual representation of Expected Shortfall," Papers 2306.14506, arXiv.org.
  23. James Ming Chen, 2018. "On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles," Risks, MDPI, vol. 6(2), pages 1-28, June.
  24. Radu Tunaru, 2015. "Model Risk in Financial Markets:From Financial Engineering to Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9524, January.
  25. Carole Bernard & Ludger Rüschendorf & Steven Vanduffel, 2017. "Value-at-Risk Bounds With Variance Constraints," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(3), pages 923-959, September.
  26. Ning Zhang & Yujing Gong & Xiaohan Xue, 2023. "Less disagreement, better forecasts: Adjusted risk measures in the energy futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(10), pages 1332-1372, October.
  27. Lux, Thibaut & Papapantoleon, Antonis, 2019. "Model-free bounds on Value-at-Risk using extreme value information and statistical distances," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 73-83.
  28. Changki Kim & Yangho Choi & Woojoo Lee & Jae Youn Ahn, 2013. "Analyzing Herd Behavior in Global Stock Markets: An Intercontinental Comparison," Papers 1308.3966, arXiv.org.
  29. Andrey Yu. Nevela & Victor A. Lapshin, 2022. "Model Risk and Basic Approaches to its Estimation on Example of Market Risk Models," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 2, pages 91-112, April.
  30. Marcelo Brutti Righi, 2018. "A theory for combinations of risk measures," Papers 1807.01977, arXiv.org, revised May 2023.
  31. Marco Frittelli & Marco Maggis, 2017. "Disentangling Price, Risk and Model Risk: V&R measures," Papers 1703.01329, arXiv.org, revised Jul 2017.
  32. Paul Embrechts & Giovanni Puccetti & Ludger Rüschendorf & Ruodu Wang & Antonela Beleraj, 2014. "An Academic Response to Basel 3.5," Risks, MDPI, vol. 2(1), pages 1-24, February.
  33. Claußen, Arndt & Rösch, Daniel & Schmelzle, Martin, 2019. "Hedging parameter risk," Journal of Banking & Finance, Elsevier, vol. 100(C), pages 111-121.
  34. Carole Bernard & Silvana M. Pesenti & Steven Vanduffel, 2022. "Robust Distortion Risk Measures," Papers 2205.08850, arXiv.org, revised Mar 2023.
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