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 |
|---|---|
| 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: | 20 Nov 2024 20:33 |
| Funders: | STICERD, LSE |
| URI: | http://eprints.lse.ac.uk/id/eprint/60084 |
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