Model Uncertainty in a Holistic Perspective

DOI10.1007/978-3-319-45875-5_9zbMath1367.91204OpenAlexW2559576001MaRDI QIDQ4976499

Gerhard Stahl

Publication date: 31 July 2017

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-45875-5_9

zbMATH Keywords

model uncertaintymodel validationSolvency IIinternal modelsstandard formula

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (1)

TEST FOR CHANGES IN THE MODELED SOLVENCY CAPITAL REQUIREMENT OF AN INTERNAL RISK MODEL

Uses Software

• RiskMetrics

Cites Work

• Possibility theory and statistical reasoning
• Practical representations of incomplete probabilistic knowledge
• Maxmin expected utility with non-unique prior
• Assessing financial model risk
• Quantitative Risk Assessment
• Reduction of Value-at-Risk bounds via independence and variance information
• Value-at-risk forecasts under scrutiny—the German experience
• Safety First and the Holding of Assets
• Robust Statistics

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