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q-fin.RM2018★ 11 cited
Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes
Ricardo Crisostomo, Lorena Couso
We investigate the forecasting ability of the most commonly used benchmarks in financial economics. We approach the usual caveats of probabilistic forecasts studies -small samples,…
q-fin.RM2011
Applying hedging strategies to estimate model risk and provision calculation
Alberto Elices, Eduard Giménez
This paper introduces a relative model risk measure of a product priced with a given model, with respect to another reference model for which the market is assumed to be driven. Th…