On the model risk

MaRDI QIDQ5262820zbMATH OpenFDO

Authors Rosa Ferrentino

Publication date 16 July 2015

zbMATH Keywords

credit riskinterest raterate distorsion theory

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91G99)

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

Cited in

(6)

• Practice-relevant model validation: distributional parameter risk analysis in financial model risk management
• Evaluating the Risks of Modeling Assumptions Used in Risk Measurement
• The price of financial products
• scientific article; zbMATH DE number 1408897 (Why is no real title available?)
• Model tracking for risk problems
• Model uncertainty in a holistic perspective

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