Similar Search Results

Analysis of risk bounds in partially specified additive factor models

Rüschendorf, Ludger - In: Insurance / Mathematics & economics 86 (2019), pp. 115-121

Persistent link: https://www.econbiz.de/10012058839

Model and estimation risk in credit risk stress tests

Grundke, Peter; Pliszka, Kamil; Tuchscherer, Michael - 2019

This paper deals with stress tests for credit risk and shows how exploiting the discretion when setting up and implementing a model can drive the results of a quantitative stress test for default probabilities. For this purpose, we employ several variations of a CreditPortfolioView-style model...

Persistent link: https://www.econbiz.de/10011981523

The top 14 challenges for today’s model risk managers : has the time come to think about going beyond SR11-7?

Hill, Jon R. - In: Journal of risk management in financial institutions 12 (2019) 2, pp. 145-167

Persistent link: https://www.econbiz.de/10012065278

Dynamically consistent investment under model uncertainty : the robust forward criteria

Källblad, Sigrid; Obłój, Jan; … - In: Finance and stochastics 22 (2018) 4, pp. 879-918

Persistent link: https://www.econbiz.de/10011946570

Determining risk model confidence sets

Cummins, Mark; Dowling, Michael; Esposito, Francesco - In: Finance research letters 22 (2017), pp. 169-174

Persistent link: https://www.econbiz.de/10011808131

Multiple regression model averaging and the focused information criterion with an application to portfolio choice

Klimenka, Filip; Wolter, James Lewis - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 3, pp. 506-516

Persistent link: https://www.econbiz.de/10012178192

Challenging the robustness of optimal portfolio investment with moving average-based strategies

Bel Hadj Ayed, Ahmed; Loeper, Grégoire; Abergel, Frédéric - In: Quantitative finance 19 (2019) 1, pp. 123-135

Persistent link: https://www.econbiz.de/10012194624

Model risk of expected shortfall

Lazar, Emese; Zhang, Ning - In: Journal of banking & finance 105 (2019), pp. 74-93

Persistent link: https://www.econbiz.de/10012163809

In search of the optimal number of fund subgroups

Yan, Cheng; Cheng, Tingting - In: Journal of empirical finance 50 (2019), pp. 78-92

Persistent link: https://www.econbiz.de/10012169933

Generalized entropy and model uncertainty

Meyer-Gohde, Alexander - In: Journal of economic theory 183 (2019), pp. 312-343

Persistent link: https://www.econbiz.de/10012131342

A service of the

zbw