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Model uncertainty and its impact on the pricing of derivative instruments

Cont, Rama - In: Mathematical finance : an international journal of … 16 (2006) 3, pp. 519-547

Persistent link: https://www.econbiz.de/10003338693

Model risk

Dowd, Kevin - 2008

Persistent link: https://www.econbiz.de/10003765457

Bayesian modeling of uncertainty in ensembles of climate models

Smith, Richard L.; Tebaldi, Claudia; Nychka, Doug; … - In: Journal of the American Statistical Association : JASA 104 (2009) 485, pp. 97-116

Persistent link: https://www.econbiz.de/10003878160

Modelling and forecasting the Yield Curve under Model uncertainty

Donati, Paola (contributor); Donati, Francesco (contributor) - 2008

This paper proposes a procedure to investigate the nature and persistence of the forces governing the yield curve and to use the extracted information for forecasting purposes. The latent factors of a model of the Nelson-Siegel type are directly linked to the maturity of the yields through the...

Persistent link: https://www.econbiz.de/10003782668

Measuring model risk

Sibbertsen, Philipp (contributor); … - 2008

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 underestimation of the institution's risk. Because the underlying data …

Persistent link: https://www.econbiz.de/10003784020