References
References
Introduction
Basics of quantitative risk models
Usage of statistics in quantitative risk models
How can a risk model fail?
The concepts of model risk and validation
Model risk frameworks
Validation tools
Regulation
Stylised facts and classical approaches
Benchmarking with machine learning
Extending the risk horizon
Modelling and simulation
Data
Model results
Impact of machine learning, outlook and conclusions
References
Adams, J., 1995, Risk (London: UCL Press).
Albert, R. and A. L. Barabási, 2002, “Statistical Mechanics of Complex Networks”, Reviews of Modern Physics, 74(1), pp 47–97.
Alexander, C. and J. M. Sarabia, 2012, “Quantile Uncertainty and Value-at-Risk Model Risk”, Risk Analysis,32(8), pp 1,293–308.
American Academy of Actuaries, 2019, “Model Risk Management: A Public Policy Practice Note”, May (available at https://www.actuary.org/sites/default/files/2019–05/ModelRiskManagementPracticeNote_May2019.pdf).
American Institute of Aeronautics and Astronautics, 1998, “Guide for the Verification and Validation of Computational Fluid Dynamics Simulations”, AIAA-G-077–1998e.
Andersen, L., J. Sidenius and S. Basu, 2003, “All Your Hedges in One Basket”, Risk,16(11), pp 67–72.
Aragonés, J. R., C. Blanco and K. Dowd, 2005, “Keeping All Eyes on Model Risk”, Futures and Options World, 412, pp 57–60.
Arnoldi, J., 2009, Risk (Cambridge, England: Polity).
Artzner, P., F. Delbaen, J. M. Eber and D. Heath, 1999, “Coherent Measures of Risk”, Mathematical Finance,9(3), pp 203–28.
Barone-Adesi, G. and K. Giannopoulos, 2001, “Non-parametric VaR Techniques: Myths and Realities”, Econ
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net