Call for Papers: Special Issue on Model Risk

Call for papers

The Journal of Risk Model Validation
Special Issue on Model Risk: Foundations, Quantification and Mitigation

Guest Edited by Christian Meyer and Peter Quell, DZ BANK AG

In September 2017 The Journal of Risk Model Validation will publish a special issue on model risk of internal risk models with a focus on foundations, quantification and mitigation. The Journal is inviting submissions, in the form of research papers, on the following topics:

  • Foundations
    • Definitions of model risk
    • Model risk through parameter uncertainty and model specification
    • Regulatory views on model risk
    • Internal models and standard approaches
  • Quantification
    • Pros and cons of model risk quantification
    • The role of benchmark models
    • To what extent could model risk be quantified?
    • Models for risk aggregation
    • Combining results of multiple risk models
  • Mitigation
    • Structure of comprehensive model risk management
    • Best practice approaches
    • The role of stress tests in model risk assessment and risk model validation
    • Simple models versus comprehensive models
    • Conservativism as model risk mitigation?

Submission Requirements
Manuscripts should be prepared for publication in accordance with our submissions guidelines, which can be found at:

All submissions will be subject to a peer review process by at least two independent peer reviewers. Final decisions on paper acceptance will be given by the Editor-in-Chief, Stephen Satchell.

The Journal has a strict length policy. Research papers should not exceed 8,000 words, including references. Submissions should be sent via the online submission site:

Submission deadline
Paper should be submitted by: February 1st, 2017
Publication date: September 30th, 2017

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