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Model risk of risk models. (2014). Danielsson, Jon ; Zer, Ilknur ; Valenzuela, Marcela ; James, Kevin R..
In: LSE Research Online Documents on Economics.
RePEc:ehl:lserod:59296.

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Cited: 16

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  1. The measure of model risk in credit capital requirements. (2022). Baviera, Roberto.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:44:y:2022:i:c:s1544612321001458.

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  2. Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models. (2021). Schlogl, Erik ; Rudd, Ralph ; Feng, YU ; Mavuso, Melusi ; Mashalaba, Qaphela ; Baker, Christopher.
    In: Risks.
    RePEc:gam:jrisks:v:9:y:2021:i:1:p:13-:d:474489.

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  3. Theory and Application of Model Risk Quantification. (2019). Feng, YU.
    In: PhD Thesis.
    RePEc:uts:finphd:3-2019.

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  4. Non-Parametric Robust Model Risk Measurement with Path-Dependent Loss Functions. (2019). Feng, YU.
    In: Papers.
    RePEc:arx:papers:1903.00590.

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  5. Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models. (2018). Schlogl, Erik ; Mavuso, Melusi ; Mashalaba, Qaphela ; Baker, Christopher ; Rudd, Ralph ; Feng, YU.
    In: Research Paper Series.
    RePEc:uts:rpaper:395.

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  6. Combining Value-at-Risk forecasts using penalized quantile regressions. (2018). Bayer, Sebastian.
    In: Econometrics and Statistics.
    RePEc:eee:ecosta:v:8:y:2018:i:c:p:56-77.

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  7. Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models. (2018). Schlogl, Erik ; Mavuso, Melusi ; Mashalaba, Qaphela ; Baker, Christopher ; Rudd, Ralph ; Feng, YU.
    In: Papers.
    RePEc:arx:papers:1810.09112.

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  8. VaRSOM: A Tool to Monitor Markets Stability Based on Value at Risk and Self‐Organizing Maps. (2016). Resta, Marina ; Sarlin, Peter.
    In: Intelligent Systems in Accounting, Finance and Management.
    RePEc:wly:isacfm:v:23:y:2016:i:1-2:p:47-64.

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  9. Model risk of risk models. (2016). Danielsson, Jon ; Zer, Ilknur ; Valenzuela, Marcela ; James, Kevin R.
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:23:y:2016:i:c:p:79-91.

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  10. Model Risk in Financial Markets:From Financial Engineering to Risk Management. (2015). Tunaru, Radu.
    In: World Scientific Books.
    RePEc:wsi:wsbook:9524.

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  11. Input-output-based measures of systemic importance. (2015). Angeloni, Ignazio ; Aldasoro, Iñaki.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:15:y:2015:i:4:p:589-606.

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  12. Why risk is so hard to measure. (2015). Zhou, Chen ; Danielsson, Jon.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:62002.

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  13. Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach. (2015). Tokpavi, Sessi ; Maillet, Bertrand ; Vaucher, Benoit .
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:244:y:2015:i:1:p:289-299.

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  14. Conditional risk measures in a bipartite market structure. (2015). Kley, Oliver ; Reinert, Gesine ; Kluppelberg, Claudia.
    In: Papers.
    RePEc:arx:papers:1510.00616.

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  15. Influencia de los precios de los metales y el mercado internacional en el riesgo bursátil peruano. (2014). Zevallos, Mauricio ; del Carpio, Carlos ; Abbara, Omar ; Villarreal, Fernanda.
    In: Working Papers.
    RePEc:rbp:wpaper:2014-023.

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  16. Risk models-at-risk. (2014). Maillet, Bertrand ; Danielsson, Jon ; Kouontchou, Patrick S. ; Boucher, Christophe M..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:44:y:2014:i:c:p:72-92.

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  6. The Information in Systemic Risk Rankings. (2015). Schwaab, Bernd ; Nucera, Federico ; Lucas, Andre ; Koopman, Siem Jan.
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