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Model Risk in Finance: Some Modeling and Numerical Analysis Issues - MaRDI portal

Model Risk in Finance: Some Modeling and Numerical Analysis Issues

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Publication:3631183

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DOI10.1016/S1570-8659(08)00001-xzbMath1180.91324OpenAlexW97308356MaRDI QIDQ3631183

Denis Talay

Publication date: 5 June 2009

Published in: Special Volume: Mathematical Modeling and Numerical Methods in Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s1570-8659(08)00001-x

zbMATH Keywords

value-at-risk model risk risk measure stochastic game Monte Carlo approximation erroneous measurement

Mathematics Subject Classification ID

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