Model risk of contingent claims

DOI10.1080/14697688.2016.1142671MaRDI QIDQ4554508zbMATH OpenOpenAlexFDO

Authors Nils Detering, N. Packham

Publication date 14 November 2018

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10419/230747

zbMATH Keywords

expected shortfallhedge errormodel riskparameter uncertaintyvalue-at-risk

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
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• AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
• Applying hedging strategies to estimate model risk and provision calculation
• Capturing parameter risk with convex risk measures
• Coherent measures of risk
• Constant proportion debt obligations (CPDOs): modeling and risk analysis
• Convex measures of risk and trading constraints
• Credit gap risk in a first passage time model with jumps
• Estimating the dimension of a model
• Hedging derivatives with model error
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• MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
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• Regression and time series model selection in small samples
• Robust risk measurement and model risk
• Robustness of the Black and Scholes Formula

Cited in

(16)

• Moment based approaches to Value the Risk of contingent claim portfolios
• Background risk and the demand for state-contingent claims
• Assessing the impact of jumps in an option pricing model: a gradient estimation approach
• Model risk in the over-the-counter market
• A numerical method for hedging Bermudan options under model uncertainty
• Model misspecification analysis for bond options and Markovian hedging strategies
• scientific article; zbMATH DE number 6611158 (Why is no real title available?)
• An investigation of model risk in a market with jumps and stochastic volatility
• MEASURING MODEL RISK IN FINANCIAL RISK MANAGEMENT AND PRICING
• Model risk of the implied GARCH-normal model
• Applying hedging strategies to estimate model risk and provision calculation
• Pricing and hedging gap risk
• MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
• Volatility Risk For Regime-Switching Models
• Hedging cryptocurrency options
• Handling model risk with XVAs

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