Concepedia

Model Risk

Model Risk is the risk arising from the potential for adverse consequences due to errors, assumptions, or limitations in the design, implementation, or application of quantitative models used in decision-making processes within enterprise risk management.

162

Publications

6.8K

Citations

434

Authors

290

Institutions

Publications per year

2017–2026

43

Parents

Publications

162

New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model

Ernst Eberlein, Ulrich Keller, Karsten Prause · The Journal of Business · 1998 · 455 citations

, , +17

Mortality density forecasts: An analysis of six stochastic mortality models

Andrew J. G. Cairns, David Blake, Kevin Dowd et al. · Insurance Mathematics and Economics · 2011 · 279 citations · Full text

, , +16

Market Risk and Model Risk for a Financial Institution Writing Options

T. Clifton Green, Stephen Figlewski · The Journal of Finance · 1999 · 235 citations

, , +17

Models and model uncertainty in the context of risk analysis

Thomas R. Nilsen, Terje Aven · Reliability Engineering & System Safety · 2003 · 218 citations

, , +13

Robust risk measurement and model risk

Paul Glasserman, Xingbo Xu · Quantitative Finance · 2013 · 217 citations

, , +17

1–5 of 162

Authors

434

  1. CA
    Carol Alexander

    University of Sussex, United Kingdom

    5 publications · 208 citations

    5

    h-index

  2. SF
    Stephen Figlewski

    New York University, United States

    3 publications · 307 citations

    3

    h-index

  3. GS
    Gerhard Stahl

    University of Duisburg-Essen, Germany

    3 publications · 66 citations

    3

    h-index

  4. BL
    Barry L. Nelson

    Northwestern University, United States

    3 publications · 101 citations

    3

    h-index

  5. AH
    Alfred Hamerle

    University of Regensburg, Germany

    3 publications · 94 citations

    3

    h-index

1–5 of 434

Institutions

290

  1. Columbia University

    New York, United States

    6 h-index

    16 publications

    891 citations

  2. University of Freiburg

    Freiburg im Breisgau, Germany

    4 h-index

    7 publications

    198 citations

  3. University of Regensburg

    Regensburg, Germany

    4 h-index

    8 publications

    300 citations

  4. University of Duisburg-Essen

    Essen, Germany

    4 h-index

    8 publications

    194 citations

  5. City, University of London

    London, United Kingdom

    4 h-index

    4 publications

    188 citations

  6. ETH Zurich

    Zurich, Switzerland

    3 h-index

    4 publications

    73 citations

  7. University of Reading

    Reading, United Kingdom

    3 h-index

    6 publications

    206 citations

  8. ICMA Centre

    Reading, United Kingdom

    3 h-index

    6 publications

    226 citations

1–8 of 290

Venues

  1. SSRN Electronic Journal

    Repository · 27 publications · 735 citations

    17

    h-index

  2. Quantitative Finance

    9 publications · 480 citations

    9

    h-index

  3. Journal of Banking & Finance

    5 publications · 279 citations

    5

    h-index

  4. arXiv (Cornell University)

    Repository · 4 publications · 112 citations

    4

    h-index

  5. Journal of Futures Markets

    4 publications · 155 citations

    4

    h-index

1–5