Assessing financial model risk

DOI10.1016/j.ejor.2014.10.032zbMath1341.91086arXiv1307.0684OpenAlexW2913633959MaRDI QIDQ2630108

Giacomo Scandolo, Pauline Barrieu

Publication date: 25 July 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1307.0684

zbMATH Keywords

financerisk managementrobustness and sensitivity analysis

Mathematics Subject Classification ID

Related Items (24)

Analyzing model robustness via a distortion of the stochastic root: a Dirichlet prior approach ⋮ Large deviations for risk measures in finite mixture models ⋮ A new elementary geometric approach to option pricing bounds in discrete time models ⋮ An investigation of model risk in a market with jumps and stochastic volatility ⋮ Measuring the unmeasurable: an application of uncertainty quantification to Treasury bond portfolios ⋮ DISCRETIZATION PROCESSING OF FINANCIAL RISK MANAGEMENT USING STOCHASTIC DIFFERENTIAL EQUATION SIMULATION METHOD ⋮ Quantification of model risk that is caused by model misspecification ⋮ TAMING UNCERTAINTY: THE LIMITS TO QUANTIFICATION ⋮ Model-free bounds on value-at-risk using extreme value information and statistical distances ⋮ The impact of correlation on (Range) Value-at-Risk ⋮ Chance-constrained optimization under limited distributional information: a review of reformulations based on sampling and distributional robustness ⋮ Marshall-Olkin type copulas generated by a global shock ⋮ An elementary proof of the dual representation of expected shortfall ⋮ Practice-relevant model validation: distributional parameter risk analysis in financial model risk management ⋮ MEASURING MODEL RISK IN FINANCIAL RISK MANAGEMENT AND PRICING ⋮ Range value-at-risk bounds for unimodal distributions under partial information ⋮ A one-sided Vysochanskii-Petunin inequality with financial applications ⋮ Disentangling price, risk and model risk: V\&R measures ⋮ Multivariate FX models with jumps: triangles, quantos and implied correlation ⋮ Comonotonic asset prices in arbitrage-free markets ⋮ Measuring exposure to dependence risk with random Bernstein copula scenarios ⋮ Affine processes under parameter uncertainty ⋮ Model Uncertainty in a Holistic Perspective ⋮ Model risk in the over-the-counter market

Cites Work

• Unnamed Item
• Unnamed Item
• Shortfall as a risk measure: properties, optimization and applications
• Upper bounds on stop-loss premiums in case of known moments up to the fourth order
• Robust risk management
• Stochastic orders and risk measures: consistency and bounds
• Robustness and sensitivity analysis of risk measurement procedures
• Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
• Analytical Bounds for two Value-at-Risk Functionals
• MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
• Bounds on a Distribution Function when its First $n$ Moments are Given

This page was built for publication: Assessing financial model risk