Model validation: theory, practice and perspectives

In July 2009, the Basel Committee on Banking Supervision issued a directive requiring that financial institutions quantify model risk. The purpose of this paper is to summarize the development of the notion of "model risk" and to present the current state of the art, before outlining open...

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Bibliographic Details
Published in:Journal of risk model validation 2011-12, Vol.5 (4), p.3
Main Authors: Hénaff, Patrick, Martini, Claude
Format: Article
Language:English
Subjects:
Committees
Financial institutions
Hedging
Prices
Regulation of financial institutions
Risk assessment
Studies
Supervision
Teams
Volatility
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Summary:In July 2009, the Basel Committee on Banking Supervision issued a directive requiring that financial institutions quantify model risk. The purpose of this paper is to summarize the development of the notion of "model risk" and to present the current state of the art, before outlining open issues that must be resolved in order to define a consistent framework for measuring this risk. [PUBLICATION ABSTRACT]
ISSN:1753-9579
1753-9579