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Model Risk in Financial Markets:From Financial Engineering to Risk Management

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  • Radu Tunaru

    (University of Kent, UK)

Abstract

The financial systems in most developed countries today build up a large amount of model risk on a daily basis. However, this is not particularly visible as the financial risk management agenda is still dominated by the subprime-liquidity crisis, the sovereign crises, and other major political events. Losses caused by model risk are hard to identify and even when they are internally identified, as such, they are most likely to be classified as normal losses due to market evolution.

Individual chapters are listed in the "Chapters" tab

Suggested Citation

  • Radu Tunaru, 2015. "Model Risk in Financial Markets:From Financial Engineering to Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9524, August.
    • Handle: RePEc:wsi:wsbook:9524
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    1. Lazar, Emese & Qi, Shuyuan, 2022. "Model risk in the over-the-counter market," European Journal of Operational Research, Elsevier, vol. 298(2), pages 769-784.
    2. Marc S. Paolella, 2017. "The Univariate Collapsing Method for Portfolio Optimization," Econometrics, MDPI, vol. 5(2), pages 1-33, May.
    3. Yasushi Ota & Yu Jiang & Daiki Maki, 2022. "Parameters identification for an inverse problem arising from a binary option using a Bayesian inference approach," Papers 2205.11012, arXiv.org.
    4. Evgeny Danilov, 2023. "Impact of Market Changes and Regulatory Measures on Accuracy of Bond Valuation in Portfolios of Russian Credit Institutions," Russian Journal of Money and Finance, Bank of Russia, vol. 82(4), pages 108-125, December.

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