Search Results - subject:"Model risk"

Cyber loss model risk translates to premium mispricing and risk sensitivity

Peters, Gareth; Malavasi, Matteo; Sofronov, Georgy; … - In: The Geneva papers on risk and insurance - issues and … 48 (2023) 2, pp. 372-433

Persistent link: https://www.econbiz.de/10014326499

The governance and disclosure of IFRS 9 economic scenarios

Stander, Yolanda S. - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-27

useful tool to evaluate the IFRS 9 economic scenarios and ensure effective challenge as part of a model risk governance …

Persistent link: https://www.econbiz.de/10014289706

On the measurement of hedging effectiveness for long-term investment guarantees

Augustyniak, Maciej; Badescu, Alexandru; Boudreault, Mathieu - In: Journal of risk and financial management : JRFM 16 (2023) 2, pp. 1-18

for long-term investment guarantees. The importance of taking model risk into account is emphasized. The difficulties in …

Persistent link: https://www.econbiz.de/10014305802

Hedge fund return predictability in the presence of model risk

Argyropoulos, Christos; Panopulu, Aikaterinē; … - In: The European journal of finance 28 (2022) 18, pp. 1892-1916

Persistent link: https://www.econbiz.de/10013532365

A gentle introduction to model risk quantification in commercial banking

Bellini, Tiziano - In: Risk management magazine 17 (2022) 1, pp. 4-11

Model risk is investigated from a commercial banking viewpoint. We firstly analyze model misspecification. Then, the … to derive a distribution of indicators for summarizing the impact of model risk on synthetic measures like bank …

Persistent link: https://www.econbiz.de/10013499778

Deviation-based model risk measures

Berkhouch, Mohammed; Müller, Fernanda Maria; Lakhnati, … - In: Computational economics 59 (2022) 2, pp. 527-547

Persistent link: https://www.econbiz.de/10013169017

Buy the dip?

Bonini, Stefano; Shohfi, Thomas; Simaan, Majeed - In: European financial management : the journal of the … 30 (2024) 4, pp. 2033-2070

Persistent link: https://www.econbiz.de/10015141980

Robust lessons learned from bank failures during the Great Financial Crisis

Goenner, Cullen F. - In: Review of quantitative finance and accounting 62 (2024) 2, pp. 449-498

Persistent link: https://www.econbiz.de/10014503105

Model risk management in stress testing : the road up to here

Canabarro, Eduardo Antonio Duarte - In: Journal of risk management in financial institutions 17 (2024) 4, pp. 370-382

Persistent link: https://www.econbiz.de/10015108308

Credit card loss forecasting : some lessons from COVID

Sengupta, Partha; Wheeler, Christopher H. - In: Journal of forecasting 43 (2024) 7, pp. 2448-2477

Persistent link: https://www.econbiz.de/10015110475

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