Model risk and capital reserves
By Jeroen Kerkhof, Bertrand Melenberg, Hans Schumacher. 2010
116 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Management Science and Operations Research, Ocean Engineering
View Paper: https://www.semanticscholar.org/paper/91c030b20515f9052643e3f70c3016dcf777d4be
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Alois Pichler
- Georg Ch. Pflug
- David Wozabal
- Werner Römisch
- Holger Heitsch
- Nicole Gröwe-Kuska
- Jitka Dupacová
- Shmuel S. Oren
In Management Science and Operations Research
- Alois Pichler
- David Wozabal
- Georg Ch. Pflug
- Werner Römisch
- Holger Heitsch
- Pavlo A. Krokhmal
- Sergey Sarykalin
- Andrzej Ruszczynski
In Ocean Engineering
- Alois Pichler
- Georg Ch. Pflug
- David Wozabal
- Hamed Rahimian
- Sanjay Mehrotra
- John C. Duchi
- Hongseok Namkoong
Citations in the corpus
- A New Approach to Assessing Model Risk in High Dimensions (2015, unknown): “In the same spirit, Kerkhof et al. (2010) assessed model risk in the context of management of market risk by computing the worst-case VaR across a range of models chosen based on econometric estimates involving past and present data.”
- The 1/ N investment strategy is optimal under high model ambiguity (2012, background): “See Maenhout (2004); Calafiore (2007); Pflug and Wozabal (2007); Garlappi et al. (2007); Quaranta and Zaffaroni (2008); Vrontos et al. (2008); Kerkhof et al. (2010); Lutgens and Schotman (2010); Tarashev (2010); Wozabal (2010) for recent advances in this direction.”