Kerkhof, Jeroen; Melenberg, Bertrand; Schumacher, Hans - In: Journal of Banking & Finance 34 (2010) 1, pp. 267-279
We propose a procedure to take model risk into account in the computation of capital reserves. This addresses the need to make the allocation of capital reserves to positions in given markets dependent on the extent to which reliable models are available. The proposed procedure can be used in...