Kato, Toshiyasu; Yoshiba, Toshinao - In: Monetary and Economic Studies 18 (2000) 2, pp. 129-157
In this paper, we analyze model risks separately in pricing models and risk measurement models as follows. (1) In pricing models, model risk is defined as "the risk arising from the use of a model which cannot accurately evaluate market prices, or which is not a mainstream model in the market."...