In this paper, we propose a general data-driven framework that unifies the valuation and risk measurement of financial … risk measures. Then we risk-neutralize the non-parametric density and distribution functions to model-independently valuate … pricing and risk management of multiple financial contracts based solely on observable time series data …

In this paper, we propose a general data-driven framework that unifies the valuation and risk measurement of financial … risk measures. Then we risk-neutralize the non-parametric density and distribution functions to model-independently valuate … pricing and risk management of multiple financial contracts based solely on observable time series data …

A model-based assessment of credit risk is subject to both specification and calibration errors. Focusing on a well … known credit risk model, we propose a methodology for quantifying the relative importance of alternative sources of such … the measured level of portfolio credit risk. By contrast, a model mis-specification generally has a limited impact …

A model-based assessment of credit risk is subject to both specification and calibration errors. Focusing on a well … known credit risk model, we propose a methodology for quantifying the relative importance of alternative sources of such … the measured level of portfolio credit risk. By contrast, a model misspecification generally has a limited impact …