Deviation-Based Model Risk Measures

2021 ◽  
Author(s):  
Mohammed Berkhouch ◽  
Fernanda Maria Müller ◽  
Ghizlane Lakhnati ◽  
Marcelo Brutti Righi
Keyword(s):  
Risk Measures ◽  
Model Risk

Model Risk Measures

2010 ◽  
Author(s):  
Alexander T. Vazsonyi ◽  
Pan Chen ◽  
Dusty D. Jenkins ◽  
Esra Burcu ◽  
Ginesa Torrente ◽  
...  
Keyword(s):  
Risk Measures ◽  
Model Risk

scholarly journals MEASURING MODEL RISK IN FINANCIAL RISK MANAGEMENT AND PRICING

2020 ◽  
Vol 23 (02) ◽  
pp. 2050012 ◽  
Author(s):  
VALERIANE JOKHADZE ◽  
WOLFGANG M. SCHMIDT
Keyword(s):  
Probability Distribution ◽  
Financial Risk ◽  
Reference Model ◽  
Risk Measures ◽  
Model Space ◽  
Market Risk ◽  
Risk Measurement ◽  
Model Risk ◽  
Financial Risk Management

Risk measurement and pricing of financial positions are based on modeling assumptions, which are common assumptions on the probability distribution of the position’s outcomes. We associate a model with a probability measure and investigate model risk by considering a model space. First, we incorporate model risk into market risk measures by introducing model weighted and superposed market risk measures. Second, we quantify model risk itself and propose axioms for model risk measures. We introduce superposed model risk measures that quantify model risk relative to a reference model, which is the financial institution’s model of choice. Several risk measures that we propose require a probability distribution on the model space, which can be obtained from data by applying Bayesian analysis. Examples and a case study illustrate our approaches.

Utilizing Downside Risk Measures

2014 ◽  
Vol 31 (3) ◽  
pp. 42-50 ◽  
Author(s):  
Michelle McCarthy
Keyword(s):  
Risk Measures ◽  
Downside Risk

Risk measures and the impact of asset price bubbles

2015 ◽  
Vol 17 (3) ◽  
pp. 35-56 ◽  
Author(s):  
Robert Jarrow ◽  
Felipe Bastos G. Silva
Keyword(s):  
Risk Measures ◽  
Asset Price ◽  
Asset Price Bubbles ◽  
Price Bubbles ◽  
The Impact

Quality control of risk measures: backtesting VAR models

2007 ◽  
Vol 9 (2) ◽  
pp. 39-54 ◽  
Author(s):  
Victor de la Pena ◽  
Ricardo Rivera ◽  
Jesus Ruiz-Mata
Keyword(s):  
Quality Control ◽  
Risk Measures ◽  
Var Models

Alternative risk measures for alternative investments

2006 ◽  
Vol 8 (4) ◽  
pp. 1-32 ◽  
Author(s):  
A Chabaane ◽  
J Laurent ◽  
Y Malevergne ◽  
F Turpin
Keyword(s):  
Risk Measures ◽  
Alternative Investments
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