Model Risk and Uncertainty—Illustrated with Examples from Mathematical Finance

2014 ◽  
pp. 279-306 ◽  
Author(s):  
Karl F. Bannör ◽  
Matthias Scherer
Keyword(s):  
Mathematical Finance ◽  
Risk And Uncertainty ◽  
Model Risk

Business model risk and uncertainty factors: Toward building and maintaining profitable and sustainable business models

2020 ◽  
Vol 63 (1) ◽  
pp. 121-130 ◽  
Author(s):  
Anne-Sophie Brillinger ◽  
Christian Els ◽  
Björn Schäfer ◽  
Beate Bender
Keyword(s):  
Business Model ◽  
Business Models ◽  
Risk And Uncertainty ◽  
Sustainable Business ◽  
Model Risk ◽  
Uncertainty Factors ◽  
Sustainable Business Models

scholarly journals Risk Aversion or Model Uncertainty? An Empirical Cross-Sectional Analysis Across Countries

2019 ◽  
Vol 38 (2) ◽  
pp. 321
Author(s):  
Caio Almeida ◽  
Pedro Engel ◽  
Joao Paulo Valente
Keyword(s):  
Risk Aversion ◽  
Emerging Markets ◽  
Model Uncertainty ◽  
Equity Premium ◽  
Uncertainty Aversion ◽  
Risk And Uncertainty ◽  
Model Risk ◽  
Cross Sectional ◽  
Advanced Economies ◽  
Sectional Analysis

By analyzing a panel of macro data including both Emerging Markets (EM) and Advanced Economies (AE), we identify that an acceptable level of model uncertainty helps to explain the equity premium existing in all these markets. Model uncertainty aversion is in general higher for EMs than for AEs. In addition, the degree of cross-sectional heterogeneity across countries' estimates of model uncertainty aversion is smaller than the corresponding heterogeneity of the risk aversion estimates in a traditional CRRA preference. We also compute separate costs of model risk and uncertainty for these economies in terms of present consumption, and conclude that the most significant effects come from uncertainty.

Degenerate Diffusion Operators Arising in Population Biology (AM-185)

2017 ◽  
Author(s):  
Charles L. Epstein ◽  
Rafe Mazzeo
Keyword(s):  
Adjoint Operator ◽  
Integral Kernel ◽  
Mathematical Finance ◽  
Elliptic Operators ◽  
Complete Analysis ◽  
Time Behavior ◽  
Degenerate Elliptic Operators ◽  
Regularity Properties ◽  
Degenerate Elliptic ◽  
Mathematical Foundations

This book provides the mathematical foundations for the analysis of a class of degenerate elliptic operators defined on manifolds with corners, which arise in a variety of applications such as population genetics, mathematical finance, and economics. The results discussed in this book prove the uniqueness of the solution to the martingale problem and therefore the existence of the associated Markov process. The book uses an “integral kernel method” to develop mathematical foundations for the study of such degenerate elliptic operators and the stochastic processes they define. The precise nature of the degeneracies of the principal symbol for these operators leads to solutions of the parabolic and elliptic problems that display novel regularity properties. Dually, the adjoint operator allows for rather dramatic singularities, such as measures supported on high codimensional strata of the boundary. The book establishes the uniqueness, existence, and sharp regularity properties for solutions to the homogeneous and inhomogeneous heat equations, as well as a complete analysis of the resolvent operator acting on Hölder spaces. It shows that the semigroups defined by these operators have holomorphic extensions to the right half plane. The book also demonstrates precise asymptotic results for the long-time behavior of solutions to both the forward and backward Kolmogorov equations.

Risk and uncertainty in applied problems of oil and gas economy

2019 ◽  
pp. 30-33
Author(s):  
A.F. Andreev ◽  
◽  
E.V. Burykina ◽  
G.N. Buliskeriya ◽  
◽  
...  
Keyword(s):  
Oil And Gas ◽  
Risk And Uncertainty

Project portfolio valuation using real options

2020 ◽  
Vol 13 (2) ◽  
pp. 126-146
Author(s):  
A.B. Lanchakov ◽  
S.A. Filin ◽  
A.Zh. Yakushev
Keyword(s):  
Real Options ◽  
Real Option ◽  
Project Portfolio ◽  
Risk And Uncertainty ◽  
Expected Effect ◽  
Investment Projects ◽  
Financial Options ◽  
Portfolio Efficiency ◽  
The Face ◽  
Effective Development

Subject. The article analyzes the expected effect of a portfolio of projects in the face of risk and uncertainty, when using real options. Objectives. The purpose is to offer a more objective formula to assess the expected impact of a portfolio of projects for real investment objects under risk and uncertainty, using real options, and provide recommendations for improving the portfolio efficiency. Methods. The study draws on methods of real options and evaluation of investment projects through the real option value, the cash flow discounting method, synthesis, and mathematical modeling. Results. We systematized the main types of real options and developed a formula for calculating the expected effect of project portfolio implementation. The said formula shows that considering the additional long-term costs embedded in a portfolio of real options, which are associated with the use of these real options, and, therefore, reducing the overall risk of projects and the entire portfolio, permit to improve the objectivity of such calculations. Conclusions. When analyzing real options that have real assets as underlying instruments, it is often impossible to apply the computational formulae for financial options, as they differ significantly. The systematization of the main types of real options helps expand the range of application of management solutions. The offered formula enables to improve the efficiency of project insurance under risk and uncertainty and to use additional opportunities for effective development of the company.

Managing Drilling Risk and Uncertainty Standard in Well Placement

2009 ◽  
Author(s):  
Benny Poedjono ◽  
Erhan Isevcan ◽  
Guy Joseph Lombardo ◽  
John Richard Walker ◽  
Simon McCulloch
Keyword(s):  
Risk And Uncertainty ◽  
Well Placement
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