Assessing model risk in financial and energy markets using dynamic conditional vars

DOI10.1002/ASMB.2828MaRDI QIDQ6581598zbMATH OpenFDO

Authors Angelica Gianfreda, Giacomo Scandolo

Publication date 30 July 2024

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1002/ASMB.2828

zbMATH Keywords

commodity riskforecastingmodel uncertaintyrisk management

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• Assessing financial model risk
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• Estimation-adjusted VaR
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• scientific article; zbMATH DE number 3926015 (Why is no real title available?)
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• Managing risks from climate impacted hazards -- the value of investment flexibility under uncertainty
• Model Selection and Model Averaging
• Model Selection and Multimodel Inference
• On Bayesian Modeling of Fat Tails and Skewness
• Quantifying market risk with value-at-risk or expected shortfall? -- Consequences for capital requirements and model risk
• The Model Confidence Set
• Using model averaging to determine suitable risk measure estimates

Cited in

(2)

• Probabilistic and statistical methods in commodity risk management
• The recalibration conundrum: hedging valuation adjustment for callable claims

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