Model Risk and Regulatory Capital

F.L.J. Kerkhof, Bertrand Melenberg () and Johannes Schumacher
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F.L.J. Kerkhof: Tilburg University, Center For Economic Research

No 2002-27, Discussion Paper from Tilburg University, Center for Economic Research

Keywords: capital requirements; (coherent) risk management; option pricing models; derivative pricing models (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (9)

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Working Paper: Model Risk and Regulatory Capital (2002)
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