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July 22, 2021 EDT
A Practical Approach to Quantitative Model Risk Assessment
Carole Bernard
,
Rodrigue Kazzi
,
Steven Vanduffel
,
generalized pareto distribution.
credibility factors
parameter risk
model risk capitalrequirements
model risk contribution
risk bounds
value-at-risk
Photo by
John Schnobrich
on
Unsplash
Variance
Bernard, Carole, Rodrigue Kazzi, and Steven Vanduffel. 2021. “A Practical Approach to Quantitative Model Risk Assessment.”
Variance
, July.
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