期刊论文详细信息
Risk Management Magazine
A Gentle Introduction to Model Risk Quantification in Commercial Banking
Tiziano Bellini1 
[1] Prometeia;
关键词: model risk;    uncertainty;    extreme event;   
DOI  :  10.47473/2020rmm0101
来源: DOAJ
【 摘 要 】

Model risk is investigated from a commercial banking viewpoint. We firstly analyze model misspecification. Then, the focus shifts towards model sensitivity. Finally, interactions among various models are scrutinized. Our overarching goal is to derive a distribution of indicators for summarizing the impact of model risk on synthetic measures like bank’s economic, capital, liquidity ratios, and so on. Governance impacts are also considered in terms of the definition of a comprehensive model appetite framework with corresponding tolerance bands.

【 授权许可】

Unknown   

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