Model risk as part of the operational risk is a serious problem for financial institutions. As the pricing of derivatives as well as the computation of the market or credit risk of an institution depend on statistical models the application of a wrong model can lead to a serious over- or...

We present a thorough empirical study (based on over 8 years of daily data) of candidate models for forecasting losses in relation to positions held against individual risk factors as well as losses in relation to a portfolio of risk factors. As part of the study, we also define various measures...

Applied Quantitative Finance presents solutions, theoretical developments and method proliferation for many practical problems in quantitative finance. The combination of practice and theory supported by computational tools is reflected in the selection of topics as well as in a finely tuned...