Model risk and capital reserves

Journal of Banking and Finance

Volumn 34, Issue 1, 2010, Pages 267-279

  Kerkhof, Jeroen ^a   Melenberg, Bertrand ^b,c   Schumacher, Hans ^b  

^a VAR Strategies ^*  (Belgium)

^b NETSPAR   (Netherlands)

^c TILBURG UNIVERSITY   (Netherlands)

Author keywords

Capital requirements; Estimation risk; Identification risk; Misspecification risk; Model risk; Risk measures

Indexed keywords

EID: 70350417741     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2009.07.025     Document Type: Article

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