Measuring model risk in financial risk management and pricing
Valeriane Jokhadze, Wolfgang M. Schmidt
| Year of publication: |
2020
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|---|---|
| Authors: | Jokhadze, Valeriane ; Schmidt, Wolfgang M. |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 23.2020, 2, p. 1-37
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| Subject: | Market risk measurement | model risk measurement | contingent claim pricing | robust representation | Bayesian analysis | DCC-GARCH | Theorie | Theory | Risiko | Risk | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management | Risikomaß | Risk measure | Messung | Measurement | Bankrisiko | Bank risk | Robustes Verfahren | Robust statistics | Marktrisiko | Market risk | Derivat | Derivative | Modellierung | Scientific modelling |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024920500120 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012270928