MEASURING MODEL RISK IN FINANCIAL RISK MANAGEMENT AND PRICING

DOI10.1142/S0219024920500120zbMath1443.91342OpenAlexW3122165245MaRDI QIDQ5114682

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Publication date: 25 June 2020

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024920500120

zbMATH Keywords

Bayesian analysisrobust representationcontingent claim pricingDCC-GARCHmarket risk measurementmodel risk measurement

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Bayesian inference (62F15)

Related Items (1)

DYNAMIC PROBABILISTIC FORECASTING WITH UNCERTAINTY

Uses Software

• BayesDA
• DREAM

Cites Work

• Unnamed Item
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