Barrieu, Pauline ORCID: 0000-0001-9473-263X and Scandolo, Giacomo (2014) Assessing financial model risk. European Journal of Operational Research, 242 (2). pp. 546-556. ISSN 0377-2217
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Abstract
Model risk has a huge impact on any risk measurement procedure and its quantification is therefore a crucial step. In this paper, we introduce three quantitative measures of model risk when choosing a particular reference model within a given class: the absolute measure of model risk, the relative measure of model risk and the local measure of model risk. Each of the measures has a specific purpose and so allows for flexibility. We illustrate the various notions by studying some relevant examples, so as to emphasize the practicability and tractability of our approach.
Item Type: | Article |
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Official URL: | http://www.sciencedirect.com/science/journal/03772... |
Additional Information: | © 2014 Elsevier B.V |
Divisions: | Statistics Centre for Analysis of Time Series |
Subjects: | H Social Sciences > HG Finance |
Date Deposited: | 06 Nov 2014 12:26 |
Last Modified: | 10 Oct 2024 01:12 |
Funders: | STICERD, LSE |
URI: | http://eprints.lse.ac.uk/id/eprint/60084 |
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