We propose three definitions of model risk when measuring financial risks. We link the three measures to current regulatory practice. We derive general properties of the three measures. We provide examples of computation for Value-at-Risk and Expected Shortfall.
Assessing financial model risk / Barrieu, Pauline; Scandolo, Giacomo. - In: EUROPEAN JOURNAL OF OPERATIONAL RESEARCH. - ISSN 0377-2217. - STAMPA. - 242:(2015), pp. 546-556. [10.1016/j.ejor.2014.10.032]
Assessing financial model risk
SCANDOLO, GIACOMO
2015
Abstract
We propose three definitions of model risk when measuring financial risks. We link the three measures to current regulatory practice. We derive general properties of the three measures. We provide examples of computation for Value-at-Risk and Expected Shortfall.
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