Model risk of contingent claims (Q4554508)

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scientific article; zbMATH DE number 6979537
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English
Model risk of contingent claims
scientific article; zbMATH DE number 6979537

    Statements

    title
    Model risk of contingent claims (English)
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    author
    Nils Detering
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    Natalie Packham
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    publication date
    14 November 2018
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    zbMATH Keywords
    model risk
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    parameter uncertainty
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    hedge error
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    value-at-risk
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    expected shortfall
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    Identifiers

    zbMATH DE Number
    6979537
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    OpenAlex ID
    W3121528318
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