Model Risk and Disappointment Aversion

SSRN Electronic Journal ◽

10.2139/ssrn.3221471 ◽

2018 ◽

Author(s):

Hasan A Fallahgoul ◽

Loriano Mancini ◽

Stoyan Veselinov Stoyanov

Keyword(s):

Disappointment Aversion

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Dynamic mean-variance portfolio analysis under model risk

The Journal of Computational Finance ◽

10.21314/jcf.2009.202 ◽

2009 ◽

Vol 12 (4) ◽

pp. 91-115 ◽

Author(s):

Daniel Kuhn ◽

Panos Parpas ◽

Berç Rustem ◽

Raquel Fonseca

Keyword(s):

Portfolio Analysis ◽

Mean Variance Portfolio ◽

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A practical maturity assessment method for model risk management in banks

The Journal of Risk Model Validation ◽

10.21314/jrmv.2017.171 ◽

2017 ◽

Author(s):

Liesl van Biljon ◽

Leendert Haasbroek

Keyword(s):

Risk Management ◽

Assessment Method ◽

Maturity Assessment

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Disappointment Aversion, Term Structure, and Predictability Puzzles in Bond Markets

SSRN Electronic Journal ◽

10.2139/ssrn.2789273 ◽

2016 ◽

Author(s):

Patrick Augustin

Keyword(s):

Term Structure ◽

Bond Markets ◽

Disappointment Aversion

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Issues and Challenges in Model Risk Quantification - A Research Study

SSRN Electronic Journal ◽

10.2139/ssrn.2922753 ◽

2017 ◽

Author(s):

Niraj Kumar Mahapatra

Keyword(s):

Research Study ◽

Risk Quantification

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Disappointment Aversion and Income Risk: Implications for Portfolio Allocation

SSRN Electronic Journal ◽

10.2139/ssrn.2992835 ◽

2016 ◽

Author(s):

Revansiddha Basavaraj Khanapure

Keyword(s):

Portfolio Allocation ◽

Income Risk ◽

Disappointment Aversion

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Model Risk and Differential Geometry Applied to Sensitivity Analysis

SSRN Electronic Journal ◽

10.2139/ssrn.3204132 ◽

2018 ◽

Author(s):

Zuzana Krajcovicova ◽

Pedro Pablo PPrez-Velasco

Keyword(s):

Differential Geometry ◽

Sensitivity Analysis ◽

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A Practical Approach to Quantitative Model Risk Assessment

SSRN Electronic Journal ◽

10.2139/ssrn.3565116 ◽

2020 ◽

Author(s):

Carole Bernard ◽

Rodrigue Kazzi ◽

Steven Vanduffel

Keyword(s):

Risk Assessment ◽

Quantitative Model ◽

Practical Approach ◽

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Анализ модельного риска использования технологии мультипликаторов при оценке акций российских компаний (Assessment of Model Risk of Technology Use Multipliers in the Valuation of Shares of Russian Companies)

SSRN Electronic Journal ◽

10.2139/ssrn.3610920 ◽

2020 ◽

Author(s):

Vigen Babkenovich Minasyan ◽

Daria Ivko

Keyword(s):

Technology Use ◽

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A Thermodynamic Picture of Financial Market and Model Risk

SSRN Electronic Journal ◽

10.2139/ssrn.3659115 ◽

2019 ◽

Author(s):

Yu Feng

Keyword(s):

Financial Market ◽

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A Cost-Benefit Analysis of Capital Requirements Adjusted for Model Risk

SSRN Electronic Journal ◽

10.2139/ssrn.3705362 ◽

2020 ◽

Author(s):

Walter Farkas ◽

Fulvia Fringuellotti ◽

Radu Tunaru

Keyword(s):

Cost Benefit Analysis ◽

Cost Benefit ◽

Capital Requirements ◽

Benefit Analysis ◽

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