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On the model risk

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Publication:5262820
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zbMATH Open1368.91113MaRDI QIDQ5262820FDOQ5262820


Authors: Rosa Ferrentino Edit this on Wikidata


Publication date: 16 July 2015





Recommendations

  • Assessing financial model risk
  • MEASURING MODEL RISK IN FINANCIAL RISK MANAGEMENT AND PRICING
  • MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
  • Evaluating the Risks of Modeling Assumptions Used in Risk Measurement
  • Model Risk in Finance: Some Modeling and Numerical Analysis Issues


zbMATH Keywords

credit riskinterest raterate distorsion theory


Mathematics Subject Classification ID

Actuarial science and mathematical finance (91G99)



Cited In (6)

  • Model tracking for risk problems
  • Model uncertainty in a holistic perspective
  • Practice-relevant model validation: distributional parameter risk analysis in financial model risk management
  • The price of financial products
  • Evaluating the Risks of Modeling Assumptions Used in Risk Measurement
  • Title not available (Why is that?)





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