Narrow search
Showing 1 - 10 of 628,335
Cover Image
A new approach to assessing model risk in high dimensions
Bernard, Carole; Vanduffel, Steven - In: Journal of banking & finance 58 (2015), pp. 166-178
Persistent link: https://www.econbiz.de/10011543968
Cover Image
Assessing financial model risk
Barrieu, Pauline; Scandolo, Giacomo - In: European journal of operational research : EJOR 242 (2015) 2, pp. 546-556
Persistent link: https://www.econbiz.de/10010491649
Cover Image
The top 14 challenges for today’s model risk managers : has the time come to think about going beyond SR11-7?
Hill, Jon R. - In: Journal of risk management in financial institutions 12 (2019) 2, pp. 145-167
Persistent link: https://www.econbiz.de/10012065278
Cover Image
Model risk of risk models
Daníelsson, Jón; James, Kevin; Valenzuela, Marcela; … - In: Journal of financial stability 23 (2016), pp. 79-91
Persistent link: https://www.econbiz.de/10011703816
Cover Image
A Monte Carlo simulation approach to forecasting multi-period value-at-risk and expected shortfall using the FIGARCH-SKT specification
Degiannakis, Stavros; Dent, Pamela; Floros, Christos - In: The Manchester School 82 (2014) 1, pp. 71-102
Persistent link: https://www.econbiz.de/10010419583
Cover Image
On aggregate model risk management : focus on stress testing
Shi, Yan; Young, H. Walter; Cao, Ran - In: Journal of risk management in financial institutions 8 (2015) 2, pp. 171-195
Persistent link: https://www.econbiz.de/10011306352
Cover Image
Model risk of expected shortfall
Lazar, Emese; Zhang, Ning - In: Journal of banking & finance 105 (2019), pp. 74-93
Persistent link: https://www.econbiz.de/10012163809
Cover Image
Model uncertainty and scenario aggregation
Cambou, Mathieu; Filipović, Damir - In: Mathematical finance : an international journal of … 27 (2017) 2, pp. 534-567
Persistent link: https://www.econbiz.de/10011752528
Cover Image
The model confidence set package for R
Bernardi, Mauro; Catania, Leopoldo - In: International journal of computational economics and … 8 (2018) 2, pp. 144-158
Persistent link: https://www.econbiz.de/10011865276