Coping with Long Term Model Risk in Market Risk Models.
Manuela SpanglerRalf WernerPublished in: ICORES (2012)
Keyphrases
- long term
- probabilistic model
- statistical model
- experimental data
- risk management
- computational model
- analytical model
- modeling framework
- metamodel
- prediction model
- risk assessment
- linear model
- mathematical models
- computational models
- statistical models
- modeling method
- autoregressive
- accurate models
- decision making
- financial risk
- monte carlo simulation
- bayesian framework
- short term
- prior knowledge
- linear regression
- mathematical model
- process model
- probability distribution
- forecasting model
- portfolio optimization
- investment decisions