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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

Model uncertainty and robustness

In: Journal of economic theory 128 (2006) 1, pp. 1-163

Persistent link: https://www.econbiz.de/10003335319

Introduction to model uncertainty and robustness

Hansen, Lars Peter; Maenhout, Pascal J.; Rustichini, Aldo; … - In: Journal of economic theory 128 (2006) 1, pp. 1-3

Persistent link: https://www.econbiz.de/10003335321

Quantifizierung von Souveränrisiken

Maltritz, Dominik - 2006

Persistent link: https://www.econbiz.de/10003336000

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

Confronting model misspecification in macroeconomics

Waggoner, Daniel F.; Zha, Tao - 2012

We estimate a Markov-switching mixture of two familiar macroeconomic models: a richly parameterized dynamic stochastic general equilibrium (DSGE) model and a corresponding Bayesian vector autoregression (BVAR) model. We show that the Markov-switching mixture model dominates both individual...

Persistent link: https://www.econbiz.de/10008773291