Philip Bertram

Leibniz Universität Hannover

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D-30167 Hannover, 30167

Germany

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The Impact of Model Risk on Capital Reserves: A Quantitative Analysis

Journal of Risk, Vol. 17, No. 5, 2015
Number of pages: 30 Posted: 24 Jun 2016
Philip Bertram, Philipp Sibbertsen and Gerhard Stahl
Leibniz Universität Hannover, University of Hannover and European Union - Committee of the Regions
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Abstract:

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model risk, estimation risk, misspecification risk, Basel multiplication factor, empirical model specification, capital reserves