Model Risk and Regulatory Capital

F.L.J. Kerkhof, B. Melenberg, J.M. Schumacher

Research output: Working paperDiscussion paperOther research output

431 Downloads (Pure)
Original languageEnglish
Place of PublicationTilburg
PublisherFinance
Number of pages57
Volume2002-27
Publication statusPublished - 2002

Publication series

NameCentER Discussion Paper
Volume2002-27

Keywords

  • capital requirements
  • (coherent) risk management
  • option pricing models
  • derivative pricing models

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