A Novel Approach to the Quantification of Model Risk for Practitioners
April 11, 2017
April 11, 2017
Sophisticated models are in broad use across the financial services industry, but, to comply with evolving regulation, firms must accurately measure their model risk. Zuzana Krajcovicova, Pedro Pablo Pérez-Velasco and Carlos Vázquez Cendón propose a new, comprehensive quantification methodology.
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