A Practical Approach to Quantitative Model Risk Assessment

Model-based decisions are highly sensitive to model risk that arises from the inadequacy of the adopted model. This paper reviews the existing literature on model risk assessment and shows how to use the theoretical results to develop a corresponding best practice. Specifically, we develop tools to assess the contribution to model risk of each of the assumptions that underpin the adopted model. Furthermore, we introduce new model risk measures and propose an intuitive formula for computing model risk capital. Some numerical examples and a case study illustrate our results

MoreLess

Year of publication:	2020
Authors:	Bernard, Carole
Other Persons:	Kazzi, Rodrigue (contributor) ; Vanduffel, Steven (contributor)
Publisher:	[2020]: [S.l.] : SSRN
Subject:	Risikomanagement \| Risk management \| Theorie \| Theory \| Risiko \| Risk

freely available

Full text |

More access options

doi.org

Check Google Scholar

In German libraries (KVK)

I need help

Which error do you want to report?

Report: URL of this record is broken

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: Addition of an URL to that resource

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: The language(s) of that resource is/are…

Please note: Required language not in the list? Please use comment field

Report: Addition of an identifier to that resource

Report: report typo

Report: Add statement

Report: Add keywords

Please use the commentary box to describe other errors

Would you like to receive a feedback?

Commentary

Please type the code from the image

For general questions please use this address.

Persistent link: https://www.econbiz.de/10012838212