Search Results

Future Perspectives in Risk Models and Finance,
Alain Bensoussan, Dominique Guegan and Charles Tapiero, from HAL (2015)
Keywords: risk models

Model Risk is Part of Operational Risk,
Dimitris N. Chorafas, from Palgrave Macmillan (2002)
Keywords: Model Risk, Credit Risk, Operational Risk, Market Risk, Accounting Information

MODELS OF BANKING RISKS MANAGEMENT,
Bente Corneliu Cristian, in Annals of Faculty of Economics (2009)
Keywords: model, insurance, risk

Modelling credit risk,
Somnath Chatterjee, from Centre for Central Banking Studies, Bank of England (2015)
Keywords: Modelling credit risk

Factor Models for Portofolio Credit Risk,
Philipp Schönbucher, from University of Bonn, Bonn Graduate School of Economics (BGSE) (2000)
Keywords: Default Risk, Portfolio Models

On Some Models for Value-At-Risk,
Philip Yu, Wai Keung Li and Shusong Jin, in Econometric Reviews (2010)
Keywords: GARCH model, Mixtures, Threshold models, Value-at-risk,

MODELING WITH @RISK:A TUTORIAL GUIDE,
Josiah Ringelberg, Andrew Johnson, Michael Boehlje, Michael Gunderson and Nathan Daninger, from Purdue University, College of Agriculture, Department of Agricultural Economics (2017)
Keywords: Excel, model, risk, business modeling, NPV analysis

Audit Risk Assessment Model,
Sergey Arzhenovskiy, Bakhteev A.V., Sinyavskaya T.G. and Hahonova N.N., in International Journal of Economics & Business Administration (IJEBA) (2019)
Keywords: Audit risk model, risk of material misstatement, risk of significant distortion, risk assessment, logical-probabilistic modeling.

Models of Credit Risk Measurement,
Alina Hagiu, in Ovidius University Annals, Economic Sciences Series (2011)
Keywords: credit risk, models, management, strategy;

Model risk of expected shortfall,
Emese Lazar and Ning Zhang, in Journal of Banking & Finance (2019)
Keywords: Model risk; Expected shortfall; Backtesting;

Model Risk of Expected Shortfall,
Emese Lazar and Ning Zhang, from Henley Business School, University of Reading (2017)
Keywords: model risk, Expected Shortfall, backtesting

Model Risk in Risk Measures Calculations,
Radu Tunaru, from World Scientific Publishing Co. Pte. Ltd. (2015)
Keywords: Model Risk, Risk Management, Financial Engineering, Financial Markets,

Model risk and capital reserves,
Jeroen Kerkhof, Bertrand Melenberg and Johannes Schumacher, in Journal of Banking & Finance (2010)
Keywords: Capital requirements Model risk Risk measures Estimation risk Misspecification risk Identification risk

Analysis of Operational Risk of Banks - Catastrophe Modelling,
Gabor Benedek and Dániel Homolya, from Department of Mathematical Economics and Economic Analysis, Corvinus University of Budapest (2007)
Keywords: risk management, operational risk, risk modelling, banking

Model and estimation risk in credit risk stress tests,
Peter Grundke, Kamil Pliszka and Michael Tuchscherer, from Deutsche Bundesbank (2019)
Keywords: credit risk, default probability, estimation risk, model risk, stress tests

Model and estimation risk in credit risk stress tests,
Peter Grundke, Kamil Pliszka and Michael Tuchscherer, in Review of Quantitative Finance and Accounting (2020)
Keywords: Credit risk, Default probability, Estimation risk, Model risk, Stress tests

The Effects of Risk Modelling: Assessing Value-at-Risk Accuracy,
Zatul Karamah Ahmad Baharul-Ulum, Ismail Ahmad, Norhana Salamudin and Norzaidi Mohd Daud, in Institutions and Economies (formerly known as International Journal of Institutions and Economies) (2015)
Keywords: Backtesting, Value-at-Risk, Volatility Modelling

Risk assessment models in the tourism sector,
Simanavicius Arturas, Edmundas Jasinskas and Biruta Svagzdiene, in The AMFITEATRU ECONOMIC journal (2015)
Keywords: tourism, tourism risk, business risk, assessment models.

Analysing Model Risks in Risk Aggregation of Non-financial Corporations,
Gabriele Wieczorek and Dimitrios Karakidis, from Springer (2022)
Keywords: Risk aggregation, Cash flow-at-risk, Earnings-at-risk, Model risk, Model validation, Model risk management

Model spaces for risk measures,
Felix-Benedikt Liebrich and Gregor Svindland, in Insurance: Mathematics and Economics (2017)
Keywords: Model free risk assessment; Extension of risk measures; Continuity properties of risk measures; Subgradients; Implied reference models;

Handling model risk with XVAs,
Cyril Bénézet and Stéphane Crépey, from HAL (2024)
Keywords: Pricing models,Model risk,Calibration,Market risk,Counterparty credit risk,Transaction Costs,Cross Valuation Adjustments (XVAs)

Model Risk in Interest Rate Modelling,
Radu Tunaru, from World Scientific Publishing Co. Pte. Ltd. (2015)
Keywords: Model Risk, Risk Management, Financial Engineering, Financial Markets,

Can risk modeling work?,
Elizabeth Sheedy, in Journal of Financial Transformation (2009)
Keywords: Financial crisis; risk modeling; GARCH-based risk measures

Model risk of contingent claims,
Nils Detering and Natalie Packham, from Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2018)
Keywords: Model risk, parameter uncertainty, hedge error, value-at-risk, expected shortfall

Risk bounds for factor models,
Carole Bernard, Ludger Rüschendorf, Steven Vanduffel and Ruodu Wang, in Finance and Stochastics (2017)
Keywords: Factor models, Risk aggregation, Dependence uncertainty, Value-at-Risk

Measuring Model Risk,
Philipp Sibbertsen, Gerhard Stahl and Corinna Luedtke, from Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät (2008)
Keywords: risk evaluation, model risk, robust estimation, stress tests

A risk perception model of alliance structuring,
T. K. Das and Bing-Sheng Teng, in Journal of International Management (2001)
Keywords: Alliances Risk perception model Relational risk Performance risk Alliance structuring

Model Risk and the Control of Eigenmodels by the Supervisors,
Dimitris N. Chorafas, from Palgrave Macmillan (2000)
Keywords: Central Bank, Model Risk, Credit Risk, Commercial Bank, Market Risk

Lp Model of Credit Risk for Juridical,
Evgueni D. Solojentsev, from Springer (2009)
Keywords: Risk Model, Credit Risk, Legal Person, Failure Risk, Russian Market

Model Risk and Basic Approaches to its Estimation on Example of Market Risk Models,
Andrey Yu. Nevela and Victor A. Lapshin, in Finansovyj žhurnal — Financial Journal (2022)
Keywords: model risk, method of model risk estimation, conservativeness, accuracy and efficiency of estimations, Value-at-Risk, market risk

Severe Loss Probabilities in Portfolio Credit Risk Models,
Simon H Babbs and Andrew E Johnson, from University Library of Munich, Germany (2004)
Keywords: Portfolio Credit Risk Models

A Characterization of the Symmetrical Monotone Risk Aversion in the RDEU Model,
M. Abouda and Alain Chateauneuf, from Université Panthéon-Sorbonne (Paris 1) (1999)
Keywords: RISK ; MARKET ; MODELS

Statistical Modeling of Asymetric Risk in Asset Returns,
John Knight, S.E. Stachell and Kien Tran, from Saskatchewan - Department of Economics (1995)
Keywords: risk ; economic models

Hedging Derivatives on Two Assets with Model Risk,
Koichi Matsumoto and Keita Shimizu, in Asia-Pacific Financial Markets (2020)
Keywords: Hedging, Derivatives, Model risk

Competing Risk Hazard Models for Demographic Transitions,
David Brownstone and C. Kazimi, from California Irvine - School of Social Sciences (1995)
Keywords: RISK;DEMOGRAPHY;ECONOMIC MODELS

Evaluation of value-at-risk models using historical data,
Darryll Hendricks, in Economic Policy Review (1996)
Keywords: Risk; Investments; Econometric models

How accurate are Value-at-Risk models at commercial banks?,
Jeremy Berkowitz and James M. O'Brien, from Board of Governors of the Federal Reserve System (U.S.) (2001)
Keywords: Risk; Econometric models

Granularity adjustment for mark-to-market credit risk models,
Michael Gordy and James Marrone, from Board of Governors of the Federal Reserve System (U.S.) (2010)
Keywords: Risk management; Econometric models

Specification analysis of structural credit risk models,
Jingzhi Huang and Hao Zhou, from Board of Governors of the Federal Reserve System (U.S.) (2008)
Keywords: Econometric models; Risk management

Techniques for verifying the accuracy of risk measurement models,
Paul Kupiec, from Board of Governors of the Federal Reserve System (U.S.) (1995)
Keywords: Risk; Econometric models

The structure of multifactor equity risk models,
Jason MacQueen, in Journal of Asset Management (2003)
Keywords: risk models, factor models, covariance matrix

Model validation and model risk: reaching the end of the line?,
Michael Thaden and Carsten S. Wehn, in Journal of Banking Regulation (2020)
Keywords: Model uncertainty, Model risk, Internal governance

Measuring and Managing COVID-19 Model Risk,
Mark Jensen, in Policy Hub (2020)
Keywords: COVID-19; model risk management; SR 11-7

Dynamic Copula Modelling for Value at Risk,
Dean Fantazzini, in Frontiers in Finance and Economics (2008)
Keywords: Copulae, Value at Risk, Dynamic Modelling

Regulatory evaluation of value-at-risk models,
Jose Lopez, from Federal Reserve Bank of New York (1997)
Keywords: Econometric models; Risk; Bank capital

Training Course Modeling Estimation and Analysis of Risks in Economics,
Evgueni D. Solojentsev, from Springer (2009)
Keywords: Risk Model, Credit Risk, Incoming Edge, Risk Attribute, Fraud Risk

VaR (Value at Risk) Model,
Vergil Voineagu and Danut Culetu, in Romanian Statistical Review Supplement (2012)
Keywords: risk, model, monitor, bank, loss, gain

ON THE RISK MODELING IN GENERAL INSURANCE,
Velizar Pavlov and Elitsa Raeva, in Economy & Business Journal (2015)
Keywords: statistical distribution, models, insurance, claim, risk

The Morality of Risk Modeling,
Nicos Scordis, in Journal of Business Ethics (2011)
Keywords: Prudence, Risk modeling, Insurance firms, Ethical behavior,

Model Risk and Disappointment Aversion,
Hasan Fallahgoul, Loriano Mancini and Stoyan V. Stoyanov, from Swiss Finance Institute (2018)
Keywords: Model risk, utility function, disappointment aversion

Assessment of model risk in the aggregate: Contribution of quantification,
Liming Brotcke and Raymond Brastow, in Journal of Risk Management in Financial Institutions (2018)
Keywords: model risk, model life cycle, risk aggregation, SR 11-7, model validation

Analysis Models of Bankruptcy Risk,
Bumbescu Sorina Simona, in Ovidius University Annals, Economic Sciences Series (2015)
Keywords: bankruptcy risk, Altman model, Conan-Holder model, reliability indicators.

Efficient option risk measurement with reduced model risk,
Sovan Mitra, in Insurance: Mathematics and Economics (2017)
Keywords: Option risk; Model risk; Risk measurement; Liquidity risk; Option trading strategies;

Marginals versus copulas: Which account for more model risk in multivariate risk forecasting?,
Simon Fritzsch, Maike Timphus and Gregor Weiß, in Journal of Banking & Finance (2024)
Keywords: Portfolio risk; Model risk; Risk forecasting; Copulas;

A Standard Measure of Risk and Risk-Value Models,
Jianmin Jia and James S. Dyer, in Management Science (1996)
Keywords: risk, utility theory, risk-value models, portfolio optimization

Stochastic Volatility: Risk Minimization and Model Risk,
Christian-Oliver Ewald, Rolf Poulsen and Klaus Schenk-Hoppé, from Swiss Finance Institute (2007)
Keywords: Locally risk-minimizing hedge, delta hedge, stochastic volatility, model risk

Risk Modeling and Capital: Credit Risk (Securitizations),
Johannes Wernz, from Springer (2014)
Keywords: United States, Risk Management, Rating Agency, Housing Price, Risk Modeling

Mergers and Acquisitions Risk Modeling,
Yulia Vertakova, Inga Vselenskaya and Vladimir Plotnikov, in JRFM (2021)
Keywords: mergers and acquisitions; risk management; risk management methodology; risk management tools; model automation

Measuring and modelling risk,
David Allen, in Global Business and Economics Review (2009)
Keywords: risk measurement; mean-variance risk analysis; financial econometrics; conditional VaR; CVaR; risk modelling; financial risk; value at risk; financial crisis; option pricing models; volatility.

Modeling the Risk in Mortality Projections,
Nan Zhu and Daniel Bauer, in Operations Research (2022)
Keywords: Financial Engineering, longevity risk, mortality risk management, forward mortality models, affine models

Determining risk model confidence sets,
Mark Cummins, Michael Dowling and Francesco Esposito, in Finance Research Letters (2017)
Keywords: Model confidence set; Model selection; Market risk models;

MODEL RISK IN VaR ESTIMATION: AN EMPIRICAL STUDY,
Jing Yao, Zhong-Fei Li and Kai W. Ng, in International Journal of Information Technology & Decision Making (IJITDM) (2006)
Keywords: Model risk, Value-at-Risk, GARCH, statistical tests

House Price Risk Models for Banking and Insurance Applications,
Katja Hanewald and Michael Sherris, from ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales (2011)
Keywords: House price risk, statistical models, risk management

An Empirical Investigation of the Assumptions of Risk-Value Models,
John Butler, James Dyer and Jiammin Jia, in Journal of Risk and Uncertainty (2005)
Keywords: risk measures, risk-value models, utility theory,

Enterprise risk management: coping with model risk in a large bank,
D Wu and D L Olson, in Journal of the Operational Research Society (2010)
Keywords: enterprise risk management, model risk management, credit risk, statistical analysis

Soft modelling in risk communication and management: examples in handling food risk,
S French, A J Maule and G Mythen, in Journal of the Operational Research Society (2005)
Keywords: risk communication, soft modelling, stakeholders

Scoring Models for Assessment of the Credit Risk,
Maria Vidolova, in Yearbook of the Faculty of Economics and Business Administration, Sofia University (2013)
Keywords: Risk, Basel II, Approaches for assessment of the risk, Scoring model.

New approaches to model risk governance,
Brian Gregory, in Journal of Risk Management in Financial Institutions (2018)
Keywords: model risk governance, operational risk, senior managers personally responsible, SR11-7

One-factor model of liquidity risk,
Maksim Osadchiy, from University Library of Munich, Germany (2022)
Keywords: liquidity risk; credit risk; Vasicek model; barrier option; IRB

Knowledge mapping of model risk in banking,
Simona Cosma, Giuseppe Rimo and Giuseppe Torluccio, in International Review of Financial Analysis (2023)
Keywords: Model risk; Banking; Bibliometric review; Risk management; Machine learning impact;

Statistical models for operational risk management,
Chiara Cornalba and Paolo Giudici, in Physica A: Statistical Mechanics and its Applications (2004)
Keywords: Bayesian networks; Operational risk management; Predictive models; Value at risk;

Market risk models for intraday data,
Pierre Giot, in The European Journal of Finance (2005)
Keywords: Intraday market risk, value-at-risk, duration models, NYSE,

Stable modeling in energy risk management,
Irina Khindanova and Zauresh Atakhanova, in Mathematical Methods of Operations Research (2002)
Keywords: Key words: Energy risk management, Value at Risk, Modeling, Stable distributions,

Lifecycle Risk Modelling of Complex Projects,
Matthew Cook and John P.T. Mo, from IntechOpen
Keywords: risk profile, enterprise modelling, project lifecycle assessment, supply chain risks

Lp Model of Credit Risk for Natural,
Evgueni D. Solojentsev, from Springer (2009)
Keywords: Risk Model, Neuron Network, Credit Risk, Criterion Function, Bank Credit

Rumour has it: Modelling credibility, reputation and franchise risk,
J. R. Sobehart, in Journal of Risk Management in Financial Institutions (2014)
Keywords: credibility, trust, reputation risk, franchise risk, risk perception, behavioural models

Models and computational algorithms for maritime risk analysis: a review,
Gino J. Lim, Jaeyoung Cho, Selim Bora, Taofeek Biobaku and Hamid Parsaei, in Annals of Operations Research (2018)
Keywords: Maritime risk analysis, Literature review, Risk assessment, Risk models

The evolution of model risk management processes,
Maurizio Garro, in Journal of Risk Management in Financial Institutions (2019)
Keywords: model risk, Bank of England, Federal Reserve, financial crisis, model performance monitoring, model risk aggregation and reporting

Effective and efficient model risk management,
Matthew Dodgson, in Journal of Risk Management in Financial Institutions (2019)
Keywords: model risk management, model risk, model validation, standardisation, automation, workflow optimisation

Modeling Risk for CVaR-Based Decisions in Risk Aggregation,
Yuriy Zinchenko and Alexandru V. Asimit, in JRFM (2023)
Keywords: risk management; conditional value-at-risk ; uncertainty modeling; bilinear optimization; linear programming; risk aggregation

Investigating the sources of default risk: lessons from empirically evaluating credit risk models,
Gurdip Bakshi, Dilip B. Madan and Frank X. Zhang, from Board of Governors of the Federal Reserve System (U.S.) (2001)
Keywords: Credit; Risk; Econometric models

The Risk Properties of A Pre-Test Estimator for Zellner's Seemingly Unrelated Model,
A. Ozcam, George Judge, Anil Bera and T. Yancey, from Tilburg - Center for Economic Research (1991)
Keywords: statistics ; economic models ; risk

New Tools to Better Model Behavior Under Risk and UNcertainty: An Oevrview,
Alain Chateauneuf, Michèle Cohen and I. Meilijson, from Université Panthéon-Sorbonne (Paris 1) (1997)
Keywords: RISK ; UTILITY FUNCTION ; MODELS

Confidence, increasing risks and crisis in a Post Kaleckian stock-flow consistent model,
Edwin Le Heron, from HAL (2014)
Keywords: risk,kaleckian,model

Final report issued by the System Tax Force on Internal Credit Risk Models,
Anonymous, in Federal Reserve Bulletin (1998)
Keywords: Credit; Risk; Econometric models

A risk-factor model foundation for ratings-based bank capital rules,
Michael Gordy, from Board of Governors of the Federal Reserve System (U.S.) (2002)
Keywords: Risk; Econometric models; Capital

Modelling longevity risk in practice,
Frank Schiller and Susanne Lepschi, in Journal of Risk Management in Financial Institutions (2011)
Keywords: longevity risk, Lee-Carter model, Bayesian Lee-Carter model, CBD model, Solvency II

CREDIT RISK MODELS: AN ANALYSIS OF DEFAULT CORRELATION,
Howard Qi, Yan Alice Xie and Sheen Liu, in The International Journal of Business and Finance Research (2010)
Keywords: Credit risk model, default correlation, model risk, financial crisis

A simulation of the insurance industry: the problem of risk model homogeneity,
Torsten Heinrich, Juan Sabuco and J. Farmer, in Journal of Economic Interaction and Coordination (2022)
Keywords: Systemic risk, Insurance, Risk modeling, Agent-based modeling, Reinsurance

Model Risk Management: Limits and Future of Bayesian Approaches,
J.P. Florens, C. Gourieroux and Alain Monfort, in Annals of Economics and Statistics (2019)
Keywords: Model Risk, Bayesian Approach, Model Choice, Validation.