Model Risk

Content

• Introduction
• Rajna Gibson
• Overview: Model Risk
  • Michel Crouhy, Dan Galai and Robert Mark
• Derivatives Pricing and Hedging under Model Risk
  • Market Risk and Model Risk for a Financial Institution Writing Options
    • Stephen Figlewski and Clifton T. Green
  • Contingent Claim Models with Deterministic Volatility: Model Error vs. Poor Estimation
    • Eric Jacquier and Robert Jarrow
  • Empirical Performance of Alternative Option Pricing Models
    • Gurdip Bakshi, Charles Cao and Zhiwu Chen
  • New Insights into Smile, Mis-pricing and Value-at-Risk: The Hyperbolic Model
    • Ernst Eberlein, Ulrich Keller and Karsten Prause
  • Market Illiquidity as a Source of Model Risk in Dynamic Hedging
    • Rdiger Frey
• Model Risk and Interest Rate Risk
  • The Stochastic Volatility of Short-Term Interest Rates: Some International Evidence
  • Clifford A. Ball and Walter N. Torous
  • Is the Short Rate Drift Actually Nonlinear?
    • David A. Chapman and Neil D. Pearson
  • Model Risk with Jump-Diffusion Processes
    • Aydin Akgun
• Var Methodologies under Model Risk
  • Evaluating Value-at-Risk Methodologies: Accuracy versus Computational Time
    • Matthew Pritsker
  • A Comparison of Analytical VAR Methodologies for Portfolios that Include Options
    • Stefan Pichler and Karl Selitsch
  • A Comparative Anatomy of Credit Risk Models
    • Michael B. Gordy
  • Regulatory Evaluation of Value-at-Risk Models
    • Jose A. Lopez
  • Risk Capital and VAR
    • Paul H. Kupiec