This paper evaluates the model risk of models used for forecasting systemic and market risk. Model risk, which is the … periods, the underlying risk forecast models produce similar risk readings; hence, model risk is typically negligible. However … the reliability of risk readings. Finally, particular conclusions on the underlying reasons for the high model risk and …

demonstrate that market makers (MMs) adjust their quotes to reduce inventory risk and adverse selection costs. Moreover, robust … averse MM are found to generalize those of a risk averse MM, and coincide in a limiting case …

collection threshold in operational risk modeling. There are several approaches under consideration --- the empirical approach … family. Our primary goal is to quantify the effect of model uncertainty on risk measurements. This is accomplished by … evaluating the probability of each approach producing conservative capital allocations based on the value-at-risk measure. These …

Despite well-known shortcomings as a risk measure, Value-at-Risk (VaR) is still the industry and regulatory standard … for the calculation of risk capital in banking and insurance. This paper is concerned with the numerical estimation of the …

Nowadays business communities are vulnerable to risk, because risk is not only inherent in every activity or business … present in various forms and cause negative impacts. Thus it is essential for companies to have a proper SC risk management in … order to survive in a risky business environment. In this study, integration of the supply chain risk management model will …