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Articles in Press
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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