Model Risk in Financial Markets:From Financial Engineering to Risk Management

Radu Tunaru
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Radu Tunaru: University of Kent, UK

in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.

Abstract: The financial systems in most developed countries today build up a large amount of model risk on a daily basis. However, this is not particularly visible as the financial risk management agenda is still dominated by the subprime-liquidity crisis, the sovereign crises, and other major political events. Losses caused by model risk are hard to identify and even when they are internally identified, as such, they are most likely to be classified as normal losses due to market evolution.

Keywords: Model Risk; Risk Management; Financial Engineering; Financial Markets (search for similar items in EconPapers)
Date: 2015
ISBN: 9789814663403
References: Add references at CitEc
Citations: View citations in EconPapers (4)

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Chapters in this book:

Ch 1 Introduction , pp 1-9

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Ch 2 Fundamental Relationships , pp 11-19

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Ch 3 Model Risk in Interest Rate Modelling , pp 21-53

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Ch 4 Arbitrage Theory , pp 55-64

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Ch 5 Derivatives Pricing Under Uncertainty , pp 65-114

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Ch 6 Portfolio Selection under Uncertainty , pp 115-127

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Ch 7 Probability Pitfalls of Financial Calculus , pp 129-155

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Ch 8 Model Risk in Risk Measures Calculations , pp 157-204

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Ch 9 Parameter Estimation Risk , pp 205-226

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Ch 10 Computational Problems , pp 227-255

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Ch 11 Portfolio Selection Using the Sharpe Ratio , pp 257-261

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Ch 12 Bayesian Calibration for Low Frequency Data , pp 263-281

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Ch 13 MCMC Estimation of Credit Risk Measures , pp 283-320

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Ch 14 Last But Not Least. Can We Avoid the Next Big Systemic Financial Crisis? , pp 321-327

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Ch 15 Notations for the Study of MLE for CIR process , pp 329-330

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