model risk การใช้

• Gennheimer investigates the model risk present in pricing basket default derivatives.
• In addition, an important aspect of managing valuation risk is associated with model risk.
• The liability-threshold model is frequently employed in medicine and genetics to model risk factors contributing to disease.
• In 1992, he proposed using Barra s quantitative techniques to forecast returns rather than just model risk, so that Barra could manage money itself.
• This " Model risk " is the subject of ongoing research by finance academics, and is a topic of great, and growing, interest in the risk management arena.
• The model risk stratifies patients who have been receiving steroid treatment for seven days to predict who will improve and who should be considered for alternative treatment options including early referral for transplant.
• More fundamentally, investors are stuck with estimating key parameters from past market data because MPT attempts to model risk in terms of the likelihood of losses, but says nothing about why those losses might occur.
• In financial markets, one may need to measure credit risk, information timing and source risk, probability model risk, operational risk and legal risk if there are regulatory or civil actions taken as a result of " investor's regret ".
• Rebonato defines model risk as " the risk of occurrence of a significant difference between the mark-to-model value of a complex and / or illiquid instrument, and the price at which the same instrument is revealed to have traded in the market ."
• He prices these derivatives with various copulas and concludes that " . . . unless one is very sure about the dependence structure governing the credit basket, any investors willing to trade basket default products should imperatively compute prices under alternative copula specifications and verify the estimation errors of their simulation to know at least the model risks they run ."