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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...
Persistent link: https://www.econbiz.de/10003784020
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Model risk in backtesting risk measures
Evers, Corinna; Rohde, Johannes - 2014
Under the Basel II regulatory framework non-negligible statistical problems arise when backtesting risk measures. In this setting backtests often become infeasible due to a low number of violations leading to heavy size distortions. According to Escanciano and Olmo (2010, 2011) these problems...
Persistent link: https://www.econbiz.de/10010344866
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Ist die Kassenärztliche Vereinigung obsolet? : eine Wettbewerbliche Analyse der Auswirkungen von Direktverträgen zwischen Krankenkassen und Leistungsanbietern
Luedtke, Corinna - In: Das Gesundheitssystem zwischen Wettbewerb und …, (pp. 104-126). 2007
Persistent link: https://www.econbiz.de/10003583912
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Model risk in backtesting risk measures
Evers, Corinna; Rohde, Johannes - 2014
Under the Basel II regulatory framework non-negligible statistical problems arise when backtesting risk measures. In this setting backtests often become infeasible due to a low number of violations leading to heavy size distortions. According to Escanciano and Olmo (2010, 2011) these problems...
Persistent link: https://www.econbiz.de/10010352203
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Model Risk in Backtesting Risk Measures
Evers, Corinna; Rohde, Johannes - Wirtschaftswissenschaftliche Fakultät, Leibniz … - 2014
Under the Basel II regulatory framework non-negligible statistical problems arise when backtesting risk measures. In this setting backtests often become infeasible due to a low number of violations leading to heavy size distortions. According to Escanciano and Olmo (2010, 2011) these problems...
Persistent link: https://www.econbiz.de/10010765420
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Measuring model risk
Sibbertsen, Philipp; Stahl, Gerhard; Luedtke, Corinna - 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...
Persistent link: https://www.econbiz.de/10010264952
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Measuring model risk
Sibbertsen, Philipp; Stahl, Gerhard; Luedtke, Corinna - Universität <Hannover> / Wirtschaftswissenschaftliche … - 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 marketor credit risk of an institution depend on statistical models the application of awrong model can lead to a serious over- or...
Persistent link: https://www.econbiz.de/10005867398
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Measuring Model Risk
Sibbertsen, Philipp; Stahl, Gerhard; Luedtke, Corinna - Wirtschaftswissenschaftliche Fakultät, Leibniz … - 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...
Persistent link: https://www.econbiz.de/10005464745