Showing 1 - 2 of 2
This paper evaluates the model risk of models used for forecasting systemic and market risk. Model risk, which is the potential for different models to provide inconsistent outcomes, is shown to be increasing with and caused by market uncertainty. During calm periods, the underlying risk...
Persistent link: https://www.econbiz.de/10011163510
consistent framework. Credit spreads are modelled by geometric Brownian motions with a dependence structure powered by a t-copula …
Persistent link: https://www.econbiz.de/10010745286