Professor G. Scandolo: Assessing Financial Model Risk

Professor G. Scandolo (University of Verona and Firenze) holder et seminar med tittelen: Assessing Financial Model Risk

Model risk has a huge impact on any risk measurement procedure and its quantification is therefore a crucial step. In this paper, we introduce three quantitative measures of model risk when choosing a particular reference model within a given class: the absolute measure of model risk, the relative measure of model risk and the local measure of model risk. Each of the measures has a specific purpose and so allows for flexibility. We illustrate the various notions by studying some relevant examples, so as to emphasize the practicability and tractability of our approach.

Published June 12, 2015 1:22 PM - Last modified June 12, 2015 1:22 PM