This paper analyzes and quantifies the idea of model risk in the environment of internal model building. We define various types of model risk including estimation risk, model risk in distribution and model risk in functional form. By the quantification of these concepts we analyze the impact of...

Als Teil des operationellen Risikos stellt das Modellrisiko eine wichtige Komponente für die Risikoermittlung bei Finanzinstitutionen dar. Da letztere z.B. bei der Tarifierung und Bepreisung von Derivaten bzw. Portfolien oder bei der Markt- und Kreditrisikoberechnung auf stochastische Modelle...

Establishing a standard formula (SF) for the regulation of European insurance companies is a Herculean task. It has to acknowledge very different business models and national peculiarities. In addition, regulatory authorities—as a stakeholder on their own—have a number of supervisory...

VaR models are related to statistical forecast systems. Within that framework different forecast tasks including Value-at-Risk and shortfall are discussed and motivated. A backtesting method based on the shortfall is developed and applied to VaR forecasts of areal portfolio. The analysis shows...

We present an analysis of VaR forecasts and P&L-series of all 13 German banks that used internal models for regulatory purposes in the year 2001. To this end, we introduce the notion of well-behaved forecast systems. Furthermore, we provide a series of statistical tools to perform our analyses....

Stochastische Grundlagen für das Risikomanagement von Kreditportfolien Neuere Entwicklungen im Portfolio- und Risikomanagement sind von der Suche nach quantitativen Modellen für die Risikobeurteilung motiviert. Mertons Firmenwertmodell wird in einem Portfoliokontext dargestellt. In diesem...

The Value-at-Risk calculation reduces the dimensionality of the risk factor space. The main reasons for such simplifications are, e.g., technical efficiency, the logic and statistical appropriateness of the model. In Chapter 2 we present three simple mappings: the mapping on the market index,...

Within an internal model the Economic Scenario Generator (ESG) is an important component. In order to get a regulatory approval of an internal model it is required that the implemented models (must be) passed a rigorous validation process, see Ceiops [2009]. In this paper we focus on the...