This paper analyzes and quantifies the idea of model risk in the environment of internal model building. We define … various types of model risk including estimation risk, model risk in distribution and model risk in functional form. By the … inflation rate and examine its impact on pension liabilities under the aspect of model risk. Under consideration of different …

Dependence modelling and estimation is a key issue in the assessment of portfolio risk. When measuring extreme risk in … terms of the Value-at-Risk, the multivariate normal model with linear correlation as its natural dependence measure is by no … the data. -- Risk management ; extreme risk assessment ; multivariate models ; dependence function …

Exchanging collateral has emerged as the market standard for mitigating counterparty credit risk in the interbank … derivatives market. Collateral postings do not, however, eliminate that risk completely. Most notably, the so-called gap risk … remains, which is the risk that in the event of counterparty default, mismatches between the collateral account and the …