Assessing Financial Model Risk

✍ Scribed by Barrieu Pauline, Scandolo Giacomo.

Tongue: English
Leaves: 11
Category: Library

No coin nor oath required. For personal study only.

✦ Synopsis

// SSRN Electronic Journal 07/2013; DOI: 10.2139/ssrn.2284101

Model risk has a huge impact on any risk measurement procedure and its quantification is therefore a crucial step. In this paper, we introduce three quantitative measures of model risk when choosing a particular reference model within a given class: the absolute measure of model risk, the relative measure of model risk and the local measure of model risk. Each of the measures has a specific purpose and so allows for flexibility. We illustrate the various notions by studying some relevant examples, so as to emphasize the practicability and tractability of our approach.

✦ Subjects

Финансово-экономические дисциплины;Страхование;Актуарные расчеты

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