Model Risk and Basic Approaches to its Estimation on Example of Market Risk Models
Model risk is currently a topic of great interest both to the academic community and to the financial industry; however, there is not yet any generally accepted approach to measuring it as of now. We give a review of basic model risk definitions and different indicators and approaches to model risk...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Financial Research Institute
2022-04-01
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| Series: | Финансовый журнал |
| Subjects: | |
| Online Access: | https://www.finjournal-nifi.ru/images/FILES/Journal/Archive/2022/2/statii/06_2_2022_v14.pdf |