10 citations · 11 across the 6 of their papers we have counts for
Showing q-fin.RMShow all
2 papers · 1 filter
q-fin.RM2012
The role of the Model Validation function to manage and mitigate model risk
Alberto Elices
This paper describes the current taxonomy of model risk, ways for its mitigation and management and the importance of the model validation function in collaboration with other depa…
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…