Quantifying Model Risk in Option Pricing and Value-at-Risk Models
Financial practitioners use models in order to price, hedge and measure risk. These models are reliant on assumptions and are prone to ”model risk”. Increased innovation in complex financial products has lead to increased risk exposure and has spurred research into understanding model risk and its u...
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| Format: | Dissertation |
| Language: | English |
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Faculty of Commerce
2020
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| Online Access: | http://hdl.handle.net/11427/31059 |