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- Model_risk abstract "In finance, model risk is the risk of loss resulting from using models to make decisions, initially and frequently referring to valuing financial securities. However model risk is more and more prevalent in industries other than financial securities valuation, such as consumer credit score, real-time probability prediction of a fraudulent credit card transaction to the probability of air flight passenger being a terrorist. Rebonato in 2002 considers alternative definitions including: After observing a set of prices for the underlying and hedging instruments, different but identically calibrated models might produce different prices for the same exotic product. Losses will be incurred because of an ‘incorrect’ hedging strategy suggested by a model.Rebonato defines model risk as "the risk of occurrence of a significant difference between the mark-to-model value of a complex and/or illiquid instrument, and the price at which the same instrument is revealed to have traded in the market."".
- Model_risk wikiPageExternalLink gs-model_risk.pdf.
- Model_risk wikiPageID "20506173".
- Model_risk wikiPageLength "16530".
- Model_risk wikiPageOutDegree "28".
- Model_risk wikiPageRevisionID "679423508".
- Model_risk wikiPageWikiLink 2007–2012_global_financial_crisis.
- Model_risk wikiPageWikiLink Arbitrage.
- Model_risk wikiPageWikiLink Backtesting.
- Model_risk wikiPageWikiLink Bank_of_Tokyo-Mitsubishi.
- Model_risk wikiPageWikiLink Barclays_Investment_Bank.
- Model_risk wikiPageWikiLink Barclays_de_Zoete_Wedd.
- Model_risk wikiPageWikiLink Black–Scholes.
- Model_risk wikiPageWikiLink Black–Scholes_model.
- Model_risk wikiPageWikiLink Category:Actuarial_science.
- Model_risk wikiPageWikiLink Category:Financial_risk.
- Model_risk wikiPageWikiLink Collateralized_debt_obligation.
- Model_risk wikiPageWikiLink Convertible_bond.
- Model_risk wikiPageWikiLink David_X._Li.
- Model_risk wikiPageWikiLink Finance.
- Model_risk wikiPageWikiLink Financial_crisis_of_2007–08.
- Model_risk wikiPageWikiLink Financial_risk_management.
- Model_risk wikiPageWikiLink High-yield_bond.
- Model_risk wikiPageWikiLink High-yield_debt.
- Model_risk wikiPageWikiLink LTCM.
- Model_risk wikiPageWikiLink Long-Term_Capital_Management.
- Model_risk wikiPageWikiLink Mortgage-backed_security.
- Model_risk wikiPageWikiLink NatWest.
- Model_risk wikiPageWikiLink National_Australia_Bank.
- Model_risk wikiPageWikiLink Natwest.
- Model_risk wikiPageWikiLink Occams_razor.
- Model_risk wikiPageWikiLink Overfitting.
- Model_risk wikiPageWikiLink Parsimony.
- Model_risk wikiPageWikiLink Rainbow_option.
- Model_risk wikiPageWikiLink Risk_management.
- Model_risk wikiPageWikiLink Specification_(regression).
- Model_risk wikiPageWikiLink Stress_testing_(software).
- Model_risk wikiPageWikiLink The_Bank_of_Tokyo-Mitsubishi_UFJ.
- Model_risk wikiPageWikiLink Value_at_Risk.
- Model_risk wikiPageWikiLink Value_at_risk.
- Model_risk wikiPageWikiLink Volatility_smile.
- Model_risk wikiPageWikiLink Yield_curve.
- Model_risk wikiPageWikiLinkText "Model risk".
- Model_risk wikiPageWikiLinkText "model risk".
- Model_risk wikiPageWikiLinkText "model weakness".
- Model_risk hasPhotoCollection Model_risk.
- Model_risk wikiPageUsesTemplate Template:Cite_book.
- Model_risk wikiPageUsesTemplate Template:Cite_journal.
- Model_risk wikiPageUsesTemplate Template:Financial_risk_types.
- Model_risk wikiPageUsesTemplate Template:Reflist.
- Model_risk subject Category:Actuarial_science.
- Model_risk subject Category:Financial_risk.
- Model_risk hypernym Risk.
- Model_risk type Agent.
- Model_risk type Field.
- Model_risk comment "In finance, model risk is the risk of loss resulting from using models to make decisions, initially and frequently referring to valuing financial securities. However model risk is more and more prevalent in industries other than financial securities valuation, such as consumer credit score, real-time probability prediction of a fraudulent credit card transaction to the probability of air flight passenger being a terrorist.".
- Model_risk label "Model risk".
- Model_risk sameAs Modellrisiko.
- Model_risk sameAs Ryzyko_modelu.
- Model_risk sameAs m.04_0f23.
- Model_risk sameAs Q1409206.
- Model_risk sameAs Q1409206.
- Model_risk wasDerivedFrom Model_risk?oldid=679423508.
- Model_risk isPrimaryTopicOf Model_risk.