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Model risk of risk models

  • Published:2016-04 Issue: Volume:23 Page:79-91
  • ISSN:1572-3089
  • Container-title:Journal of Financial Stability
  • language:en
  • Short-container-title:Journal of Financial Stability

Author:

Danielsson Jon,James Kevin R.,Valenzuela Marcela,Zer Ilknur

Publisher

Elsevier BV

Subject

General Economics, Econometrics and Finance,Finance

Reference52 articles.

1. Capital shortfall: a new approach to ranking and regulating systemic risk;Acharya;Am. Econ. Rev.,2012

2. Measuring Systemic Risk. Working Paper;Acharya,2010

3. CoVaR. Working Paper, NBER-17454;Adrian,2011

4. Real Time Early Warning Indicators for Costly Asset Price Boom/Bust Cycles. ECB Working Paper Series 1039;Alessi,2009

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

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