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Model risk of risk models

Citations

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Cited by:

  1. 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.
  2. Righi, Marcelo Brutti & Müller, Fernanda Maria & Moresco, Marlon Ruoso, 2020. "On a robust risk measurement approach for capital determination errors minimization," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 199-211.
  3. Peter Grundke & Kamil Pliszka & Michael Tuchscherer, 2020. "Model and estimation risk in credit risk stress tests," Review of Quantitative Finance and Accounting, Springer, vol. 55(1), pages 163-199, July.
  4. Farkas, Walter & Fringuellotti, Fulvia & Tunaru, Radu, 2020. "A cost-benefit analysis of capital requirements adjusted for model risk," Journal of Corporate Finance, Elsevier, vol. 65(C).
  5. Malovaná, Simona & Kolcunová, Dominika & Brož, Václav, 2019. "Does monetary policy influence banks’ risk weights under the internal ratings-based approach?," Economic Systems, Elsevier, vol. 43(2), pages 1-1.
  6. Michael Funke & Rongrong Sun & Linxu Zhu, 2022. "The credit risk of Chinese households: A micro‐level assessment," Pacific Economic Review, Wiley Blackwell, vol. 27(3), pages 254-276, August.
  7. repec:cnb:ocpubc:fsr1718/2 is not listed on IDEAS
  8. Zevallos, Mauricio & Villarreal, Fernanda & Del Carpio, Carlos & Abbara, Omar, 2014. "Influencia de los precios de los metales y el mercado internacional en el riesgo bursátil peruano," Working Papers 2014-023, Banco Central de Reserva del Perú.
  9. Danielsson, Jon & Zhou, Chen, 2015. "Why risk is so hard to measure," LSE Research Online Documents on Economics 62002, London School of Economics and Political Science, LSE Library.
  10. Oliver Kley & Claudia Kluppelberg & Gesine Reinert, 2015. "Conditional risk measures in a bipartite market structure," Papers 1510.00616, arXiv.org.
  11. Alexander, Carol & Han, Yang & Meng, Xiaochun, 2023. "Static and dynamic models for multivariate distribution forecasts: Proper scoring rule tests of factor-quantile versus multivariate GARCH models," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1078-1096.
  12. Yu Feng & Ralph Rudd & Christopher Baker & Qaphela Mashalaba & Melusi Mavuso & Erik Schlögl, 2021. "Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models," Risks, MDPI, vol. 9(1), pages 1-20, January.
  13. Mariano González-Sánchez & Eva M. Ibáñez Jiménez & Ana I. Segovia San Juan, 2022. "Market and model risks: a feasible joint estimate methodology," Risk Management, Palgrave Macmillan, vol. 24(3), pages 187-213, September.
  14. Cincinelli, Peter & Pellini, Elisabetta & Urga, Giovanni, 2024. "Is there an optimal level of leverage? The case of banks and non-bank institutions in Europe," International Review of Financial Analysis, Elsevier, vol. 94(C).
  15. C. Alexander & M. Coulon & Y. Han & X. Meng, 2024. "Evaluating the discrimination ability of proper multi-variate scoring rules," Annals of Operations Research, Springer, vol. 334(1), pages 857-883, March.
  16. Bevilacqua, Mattia & Tunaru, Radu & Vioto, Davide, 2020. "Options-based systemic risk, financial distress, and macroeconomic downturns," LSE Research Online Documents on Economics 118850, London School of Economics and Political Science, LSE Library.
  17. Kubitza, Christian & Gründl, Helmut, 2016. "Systemic risk: Time-lags and persistence," ICIR Working Paper Series 20/16, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
  18. Ramzi Nekhili & Jahangir Sultan, 2020. "Jump Driven Risk Model Performance in Cryptocurrency Market," IJFS, MDPI, vol. 8(2), pages 1-18, April.
  19. Pupentsova Svetlana V. & Gromova Elizaveta A., 2021. "Risk Management in Business Valuation in the Context of Digital Transformation," Real Estate Management and Valuation, Sciendo, vol. 29(2), pages 97-106, June.
  20. Václav Brož & Lukáš Pfeifer, 2021. "Are risk weights of banks in the Czech Republic procyclical? Evidence from wavelet analysis," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 10(1), pages 113-139.
  21. Denisa Banulescu-Radu & Christophe Hurlin & Jérémy Leymarie & Olivier Scaillet, 2021. "Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures," Management Science, INFORMS, vol. 67(9), pages 5730-5754, September.
  22. Yu Feng, 2019. "Theory and Application of Model Risk Quantification," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2019, January-A.
  23. Maillet, Bertrand & Tokpavi, Sessi & Vaucher, Benoit, 2015. "Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach," European Journal of Operational Research, Elsevier, vol. 244(1), pages 289-299.
  24. Bevilacqua, Mattia & Tunaru, Radu & Vioto, Davide, 2023. "Options-based systemic risk, financial distress, and macroeconomic downturns," LSE Research Online Documents on Economics 119289, London School of Economics and Political Science, LSE Library.
  25. Danielsson, Jon & James, Kevin R. & Valenzuela, Marcela & Zer, Ilknur, 2016. "Model risk of risk models," Journal of Financial Stability, Elsevier, vol. 23(C), pages 79-91.
  26. Kurter, Zeynep O., 2022. "How macroeconomic conditions affect systemic risk in the short and long-run?," The Warwick Economics Research Paper Series (TWERPS) 1407, University of Warwick, Department of Economics.
  27. Fritzsch, Simon & Timphus, Maike & Weiß, Gregor, 2024. "Marginals versus copulas: Which account for more model risk in multivariate risk forecasting?," Journal of Banking & Finance, Elsevier, vol. 158(C).
  28. Cucinelli, Doriana & Battista, Maria Luisa Di & Marchese, Malvina & Nieri, Laura, 2018. "Credit risk in European banks: The bright side of the internal ratings based approach," Journal of Banking & Finance, Elsevier, vol. 93(C), pages 213-229.
  29. Marina Resta, 2016. "VaRSOM: A Tool to Monitor Markets' Stability Based on Value at Risk and Self‐Organizing Maps," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 23(1-2), pages 47-64, January.
  30. David Martinez-Miera & Rafael Repullo, 2019. "Monetary Policy, Macroprudential Policy, and Financial Stability," Annual Review of Economics, Annual Reviews, vol. 11(1), pages 809-832, August.
  31. Gourieroux, Christian & Tiomo, Andre, 2019. "The Evaluation of Model Risk for Probability of Default and Expected Loss," MPRA Paper 95795, University Library of Munich, Germany.
  32. Seyed Mohammad Sina Seyfi & Azin Sharifi & Hamidreza Arian, 2020. "Portfolio Risk Measurement Using a Mixture Simulation Approach," Papers 2011.07994, arXiv.org.
  33. I�aki Aldasoro & Ignazio Angeloni, 2015. "Input-output-based measures of systemic importance," Quantitative Finance, Taylor & Francis Journals, vol. 15(4), pages 589-606, April.
  34. Bayer, Sebastian, 2018. "Combining Value-at-Risk forecasts using penalized quantile regressions," Econometrics and Statistics, Elsevier, vol. 8(C), pages 56-77.
  35. Ning Zhang & Yujing Gong & Xiaohan Xue, 2023. "Less disagreement, better forecasts: Adjusted risk measures in the energy futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(10), pages 1332-1372, October.
  36. Mohammed Berkhouch & Fernanda Maria Müller & Ghizlane Lakhnati & Marcelo Brutti Righi, 2022. "Deviation-Based Model Risk Measures," Computational Economics, Springer;Society for Computational Economics, vol. 59(2), pages 527-547, February.
  37. Kolari, James W. & López-Iturriaga, Félix J. & Sanz, Ivan Pastor, 2020. "Measuring systemic risk in the U.S. Banking system," Economic Modelling, Elsevier, vol. 91(C), pages 646-658.
  38. Tasneem Bani-Mustafa & Nicola Pedroni & Enrico Zio & Dominique Vasseur & Francois Beaudouin, 2020. "A hierarchical tree-based decision-making approach for assessing the relative trustworthiness of risk assessment models," Journal of Risk and Reliability, , vol. 234(6), pages 748-763, December.
  39. Murphy, David, 2023. "What can we expect from a good margin model? Observations from whole-distribution tests of risk-based initial margin models," LSE Research Online Documents on Economics 118281, London School of Economics and Political Science, LSE Library.
  40. Lazar, Emese & Zhang, Ning, 2019. "Model risk of expected shortfall," Journal of Banking & Finance, Elsevier, vol. 105(C), pages 74-93.
  41. Baviera, Roberto, 2022. "The measure of model risk in credit capital requirements," Finance Research Letters, Elsevier, vol. 44(C).
  42. Boucher, Christophe M. & Daníelsson, Jón & Kouontchou, Patrick S. & Maillet, Bertrand B., 2014. "Risk models-at-risk," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 72-92.
  43. Kurter, Zeynep O., 2024. "How macroeconomic conditions affect systemic risk in the short and long-run?," The North American Journal of Economics and Finance, Elsevier, vol. 70(C).
  44. Geraci, Marco Valerio & Gnabo, Jean-Yves, 2018. "Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying Vector Autoregressions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 53(3), pages 1371-1390, June.
  45. Rosa Ferrentino & Luca Vota, 2022. "A Mathematical Model for the Pricing of Derivative Financial Products: the Role of the Banking Supervision and of the Model Risk," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 11(1), pages 1-2.
  46. Fernández-Aguado, Pilar Gómez & Martínez, Eduardo Trigo & Ruíz, Rafael Moreno & Ureña, Antonio Partal, 2022. "Evaluation of European Deposit Insurance Scheme funding based on risk analysis," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 234-247.
  47. Evaggelia Siopi & Thomas Poufinas & James Ming Chen & Charalampos Agiropoulos, 2023. "Can Regulation Affect the Solvency of Insurers? New Evidence from European Insurers," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 29(1), pages 15-30, May.
  48. Pfeifer, Lukáš & Hodula, Martin, 2018. "A profit-to-provisioning approach to setting the countercyclical capital buffer: the Czech example," ESRB Working Paper Series 82, European Systemic Risk Board.
  49. Mehmet Sahiner & David G. McMillan & Dimos Kambouroudis, 2023. "Do artificial neural networks provide improved volatility forecasts: Evidence from Asian markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 47(3), pages 723-762, September.
  50. Fracasso, Laís Martins & Müller, Fernanda Maria & Ramos, Henrique Pinto & Righi, Marcelo Brutti, 2023. "Is there a risk premium? Evidence from thirteen measures," The Quarterly Review of Economics and Finance, Elsevier, vol. 92(C), pages 182-199.
  51. d’Addona, Stefano & Khanom, Najrin, 2022. "Estimating tail-risk using semiparametric conditional variance with an application to meme stocks," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 241-260.
  52. Li, Dan & Clements, Adam & Drovandi, Christopher, 2023. "A Bayesian approach for more reliable tail risk forecasts," Journal of Financial Stability, Elsevier, vol. 64(C).
  53. Dai, Yun-Shi & Dai, Peng-Fei & Zhou, Wei-Xing, 2023. "Tail dependence structure and extreme risk spillover effects between the international agricultural futures and spot markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
  54. Stepankova, Barbora & Teply, Petr, 2023. "Consistency of banks' internal probability of default estimates: Empirical evidence from the COVID-19 crisis," Journal of Banking & Finance, Elsevier, vol. 154(C).
  55. Fang, Yi & Wang, Yanru & Wang, Qi & Zhao, Yang, 2023. "Policy uncertainty and bank systemic risk: A perspective of risk decomposition," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
  56. Seyfi, Seyed Mohammad Sina & Sharifi, Azin & Arian, Hamidreza, 2021. "Portfolio Value-at-Risk and expected-shortfall using an efficient simulation approach based on Gaussian Mixture Model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 190(C), pages 1056-1079.
  57. Marina Brogi & Valentina Lagasio & Luca Riccetti, 2021. "Systemic risk measurement: bucketing global systemically important banks," Annals of Finance, Springer, vol. 17(3), pages 319-351, September.
  58. Marcelo Brutti Righi, 2018. "A theory for combinations of risk measures," Papers 1807.01977, arXiv.org, revised May 2023.
  59. Pfeifer, Lukáš & Hodula, Martin, 2021. "A profit-to-provisioning approach to setting the countercyclical capital buffer," Economic Systems, Elsevier, vol. 45(1).
  60. Yu Feng, 2019. "Non-Parametric Robust Model Risk Measurement with Path-Dependent Loss Functions," Papers 1903.00590, arXiv.org.
  61. Mauricio Zevallos & Fernanda Villarreal & Carlos Del Carpio & Omar Abbara, 2017. "Metal Prices and International Market Risk in the Peruvian Stock Market," Revista Economía, Fondo Editorial - Pontificia Universidad Católica del Perú, vol. 40(79), pages 87-104.
  62. Rhys M. Bidder & Raffaella Giacomini & Andrew McKenna, 2016. "Stress Testing with Misspecified Models," Working Paper Series 2016-26, Federal Reserve Bank of San Francisco.
  63. Zhang, Ning & Gong, Yujing & Xue, Xiaohan, 2023. "Less disagreement, better forecasts: adjusted risk measures in the energy futures market," LSE Research Online Documents on Economics 118451, London School of Economics and Political Science, LSE Library.
  64. Cerrone, Rosaria & Cocozza, Rosa & Curcio, Domenico & Gianfrancesco, Igor, 2017. "Does prudential regulation contribute to effective measurement and management of interest rate risk? Evidence from Italian banks," Journal of Financial Stability, Elsevier, vol. 30(C), pages 126-138.
  65. Michael Michaelides & Niraj Poudyal, 2024. "Good risk measures, bad statistical assumptions, ugly risk forecasts," The Financial Review, Eastern Finance Association, vol. 59(2), pages 519-543, May.
  66. Bevilacqua, Mattia & Tunaru, Radu & Vioto, Davide, 2023. "Options-based systemic risk, financial distress, and macroeconomic downturns," Journal of Financial Markets, Elsevier, vol. 65(C).
  67. Malgorzata Mikita, 2022. "The Interrelationship Among Efficiency and Concentration of Banking System and its Stability: Evidence from Poland," European Research Studies Journal, European Research Studies Journal, vol. 0(1), pages 670-689.
  68. James Ming Chen, 2018. "On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles," Risks, MDPI, vol. 6(2), pages 1-28, June.
  69. Laura Garcia-Jorcano & Lidia Sanchis-Marco, 2023. "Measuring Systemic Risk Using Multivariate Quantile-Located ES Models," Journal of Financial Econometrics, Oxford University Press, vol. 21(1), pages 1-72.
  70. Murphy, David & Vause, Nicholas, 2021. "A CBA of APC: analysing approaches to procyclicality reduction in CCP initial margin models," Bank of England working papers 950, Bank of England.
  71. Silva, Walmir & Kimura, Herbert & Sobreiro, Vinicius Amorim, 2017. "An analysis of the literature on systemic financial risk: A survey," Journal of Financial Stability, Elsevier, vol. 28(C), pages 91-114.
  72. Gogas, Periklis & Papadimitriou, Theophilos & Agrapetidou, Anna, 2018. "Forecasting bank failures and stress testing: A machine learning approach," International Journal of Forecasting, Elsevier, vol. 34(3), pages 440-455.
  73. Dridi, Ichrak & Boughrara, Adel, 2021. "On the effect of full-fledged IT adoption on stock returns and their conditional volatility: Evidence from propensity score matching," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 179-194.
  74. Simon Fritzsch & Maike Timphus & Gregor Weiss, 2021. "Marginals Versus Copulas: Which Account For More Model Risk In Multivariate Risk Forecasting?," Papers 2109.10946, arXiv.org.
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