The impact of model risk on capital reserves : a quantitative analysis
Philip Bertram, Philipp Sibbertsen and Gerhard Stahl
| Year of publication: |
June 2015
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|---|---|
| Authors: | Bertram, Philip ; Sibbertsen, Philipp ; Stahl, Gerhard |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 17.2014/2015, 5, p. 69-97
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| Subject: | model risk | estimation risk | misspecification risk | Basel multiplication factor | empirical model specification | capital reserves | Risiko | Risk | Basler Akkord | Basel Accord | Theorie | Theory | Bankrisiko | Bank risk | Risikomanagement | Risk management | Risikomodell | Risk model | Risikomaß | Risk measure | Ökonometrisches Modell | Econometric model | Modellierung | Scientific modelling | Schätzung | Estimation | Statistischer Fehler | Statistical error |