Danielsson, Jon; James, Kevin R.; Valenzuela, Marcela; … - London School of Economics (LSE) - 2014
This paper evaluates the model risk of models used for forecasting systemic and market risk. Model risk, which is the …. During calm periods, the underlying risk forecast models produce similar risk readings, hence, model risk is typically … no obvious way to identify which method is the best. Finally, we discuss the main problems in risk forecasting for macro …