A new approach to assessing model risk in high dimensions-Reference-Cited by-同舟云学术

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A new approach to assessing model risk in high dimensions

Published:2015-09 Issue: Volume:58 Page:166-178
ISSN:0378-4266
Container-title:Journal of Banking & Finance
language:en
Short-container-title:Journal of Banking & Finance

Author:

Bernard Carole,Vanduffel Steven

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference42 articles.

1. Pair-copula constructions of multiple dependence;Aas;Insurance: Math. Econ.,2009

2. Quantile uncertainty and value-at-risk model risk;Alexander;Risk Anal.,2012

3. Assessing financial model risk;Barrieu;Eur. J. Oper. Res.,2015

4. Bernard, C., Vanduffel, S., 2014. Quantile of a mixture. Available at: .

5. A note on ‘improved Fréchet bounds and model-free pricing of multi-asset options’ by Tankov (2011);Bernard;J. Appl. Probab.,2012

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1. Marginals versus copulas: Which account for more model risk in multivariate risk forecasting?;Journal of Banking & Finance;2024-01

2. The Beautiful Art of Rearranging Matrices;SSRN Electronic Journal;2024

3. Assessing model risk in financial and energy markets using dynamic conditional VaRs;Applied Stochastic Models in Business and Industry;2023-10-14

4. Pairwise counter-monotonicity;Insurance: Mathematics and Economics;2023-07

5. The impact of correlation on (Range) Value-at-Risk;Scandinavian Actuarial Journal;2022-11-07

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